This pricing supplement, which is not complete and may be changed, relates to an effective Registration Statement under the Securities Act of 1933.  This pricing supplement and the accompanying product supplement, prospectus supplement and prospectus are not an offer to sell these securities in any country or jurisdiction where such an offer would not be permitted.

August 2026

Preliminary Pricing Supplement - Subject to Completion

Dated July 31, 2026

(To Prospectus dated December 8, 2025,

Series A Prospectus Supplement dated December 8, 2025 and

Product Supplement EQUITY-1 dated December 8, 2025)

Filed Pursuant to Rule 424(b)(2)

Registration Statement Nos. 333-290665 and 333-290665-01

BofA Finance LLC

STRUCTURED INVESTMENTS

Opportunities in International Equities

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029

Trigger Performance Leveraged Upside Securities^SM

Fully and Unconditionally Guaranteed by Bank of America Corporation

Principal at Risk Securities

The Trigger PLUS are our senior debt securities. Any payments on the Trigger PLUS are fully and unconditionally guaranteed by Bank of America Corporation (“BAC”). The Trigger PLUS will pay no interest, do not guarantee any return of principal at maturity and have the terms described in the accompanying product supplement, prospectus supplement and prospectus, as supplemented or modified by this document.

The amount that you will be paid on your Trigger PLUS at maturity is based on the performance of a weighted basket composed of the EURO STOXX 50^® Index (40.00% weighting), the TOPIX^® Index (25.00% weighting), the FTSE^® 100 Index (17.50% weighting), the Swiss Market Index (10.00% weighting) and the S&P/ASX 200 Index (7.50% weighting) as measured from the pricing date to and including the valuation date. The initial basket value is 100, and the final basket value (the basket closing value on the valuation date) will equal the sum of the products, as calculated separately for each underlying index, of: (i) the index closing value of such underlying index on the valuation date multiplied by (ii) its multiplier. The multiplier will equal, for each underlying index, the quotient of (i) the weighting of such underlying index multiplied by 100 divided by (ii) its initial basket component value.

At maturity, if the basket has appreciated in value, investors will receive the stated principal amount of their investment plus the leveraged upside performance of the basket. If the basket has remained unchanged or depreciated in value, but the final basket value is greater than or equal to the downside threshold value, investors will receive the stated principal amount of their investment. However, if the basket has depreciated in value so that the final basket value is less than the downside threshold value, investors will lose a significant portion or all of their investment, resulting in a 1% loss for every 1% decline in the basket closing value over the term of the Trigger PLUS.  Under these circumstances, the payment at maturity will be less than 80% of the stated principal amount and could be zero.  Accordingly, you may lose your entire investment.  Declines in one or more underlying indices may offset increases in the other underlying indices. Due to the unequal weighting of each underlying index, the performances of the underlying indices with greater weights will have a significantly larger impact on the return on your Trigger PLUS than the performances of the underlying indices with lesser weights. These Trigger PLUS are for investors who seek a return based on a basket of equity indices and who are willing to risk their principal and forgo current income in exchange for the upside leverage feature and the limited protection against loss that applies only if the final basket value is greater than or equal to the downside threshold value. Investors may lose their entire initial investment in the Trigger PLUS. The Trigger PLUS are issued as part of BofA Finance LLC’s (“BofA Finance”) “Medium-Term Notes, Series A” program. 

All payments on the Trigger PLUS are subject to the credit risk of BofA Finance, as issuer of the Trigger PLUS, and BAC, as guarantor of the Trigger PLUS.  If we default on our obligations, you could lose some or all of your investment.  These Trigger PLUS are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

SUMMARY TERMS
Issuer:		BofA Finance
Guarantor:		BAC
Aggregate principal amount:		$
Stated principal amount:		$1,000.00 per Trigger PLUS
Issue price:		$1,000.00 per Trigger PLUS (see “Commissions and issue price” below)
Pricing date:		August 14, 2026
Original issue date:		August 19, 2026 (3 business days after the pricing date)
Maturity date:		September 6, 2029
Basket:		As described more fully below, a weighted basket composed of the EURO STOXX 50® Index (Bloomberg symbol: “SX5E”), the TOPIX® Index (Bloomberg symbol: “TPX”), the FTSE® 100 Index (Bloomberg symbol: “UKX”), the Swiss Market Index (Bloomberg symbol: “SMI”) and the S&P/ASX 200 Index (Bloomberg symbol: “AS51”)
Payment at maturity per Trigger PLUS:		You will receive at maturity a cash payment per Trigger PLUS as follows: If the final basket value is greater than the initial basket value: $1,000 + leveraged upside payment If the final basket value is less than or equal to the initial basket value but is greater than or equal to the downside threshold value: $1,000 If the final basket value is less than the downside threshold value: $1,000 × basket performance factor Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000 and will represent a loss of more than 20%, and possibly all, of your investment.
		Terms continued on the following page
Agent:		BofA Securities, Inc. (“BofAS”), an affiliate of BofA Finance
Estimated value on the pricing date:		Between $910.00 and $960.00 per $1,000.00 in principal amount of Trigger PLUS, which is less than the price to public listed below. The actual value of your Trigger PLUS at any time will reflect many factors and cannot be predicted with accuracy. See “Structuring the Trigger PLUS” in this pricing supplement.
Commissions and issue price:	Price to public		Agent’s commissions and fees	Proceeds to BofA Finance
Per Trigger PLUS	$1,000.00		$25.00(1)
			$5.00(2)	$970.00
Total	$		$	$

(1) Morgan Stanley Wealth Management and its financial advisors will collectively receive from the agent, BofAS, a fixed sales commission of $25.00 for each Trigger PLUS they sell. See “Supplement to the plan of distribution; role of BofAS and conflicts of interest” in this pricing supplement.

(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5.00 for each Trigger PLUS.

There are important differences between the Trigger PLUS and a conventional debt security. Potential purchasers of the Trigger PLUS should consider the information in “Risk Factors” beginning on page 7 of this pricing supplement, page PS-3 of the accompanying product supplement, page S-7 of the accompanying prospectus supplement, and page 7 of the accompanying prospectus.

None of the Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these Trigger PLUS or determined if this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

The Trigger PLUS are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.

Before you invest, you should read this pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for information about us, BAC and this offering, each of which can be accessed via the hyperlinks below.  Please also see “Additional Terms of the Trigger PLUS” and “Additional Information About the Trigger PLUS” in this pricing 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.

Series A MTN prospectus supplement dated December 8, 2025 and prospectus dated December 8, 2025 and Product Supplement EQUITY-1 dated December 8, 2025 

 

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

Terms continued from previous page:
Basket (continued from previous page):	Basket component Basket component weighting Initial basket component value Multiplier EURO STOXX 50® Index 40.00%     TOPIX® Index 25.00%     FTSE® 100 Index 17.50%     Swiss Market Index 10.00%     S&P/ASX 200 Index 7.50%     We refer to each basket component singularly as an underlying index and together as the underlying indices. The initial basket component value of each underlying index is the index closing value of such underlying index on the pricing date.
Leveraged upside payment:	$1,000.00 × leverage factor × basket percent increase
Basket percent increase:	(final basket value – initial basket value) / initial basket value
Initial basket value:	100
Final basket value:	The basket closing value on the valuation date
Basket closing value:	The basket closing value on any day is the sum of the products of the basket component closing value of each underlying index times the applicable multiplier for such underlying index on such date.
Basket component closing value:	In the case of each underlying index, the index closing value of such underlying index.
Multiplier:	Each multiplier will be set on the pricing date based on the applicable underlying index’s respective initial basket component value so that each underlying index will represent its applicable basket component weighting in the predetermined initial basket value. Each multiplier will remain constant for the term of the Trigger PLUS and will equal, for each underlying index, (i) the product of the applicable basket component weighting times 100 divided by (ii) the applicable initial basket component value. See “Basket—Multiplier” above.
Valuation date:	August 31, 2029, subject to postponement as described under “Description of the Notes—Certain Terms of the Notes—Events Relating to Calculation Days” in the accompanying product supplement.
Downside threshold value:	80, which is 80% of the initial basket value
Leverage factor:	At least 141.00%. The actual leverage factor will be determined on the pricing date.
Basket performance factor:	Final basket value divided by the initial basket value
CUSIP / ISIN:	09712GTN4 / US09712GTN42
Listing:	The Trigger PLUS will not be listed on any securities exchange.

 

The pricing date, issue date and other dates set forth above are subject to change, and will be set forth in the final pricing supplement relating to the Trigger PLUS.

August 2026Page 2

 

 

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Investment Summary

Trigger Performance Leveraged Upside Securities

Principal at Risk Securities

The Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029 (the “Trigger PLUS”) can be used:

￭As an alternative to direct exposure to the basket that enhances returns for any positive performance of the basket

￭To enhance returns and potentially outperform the basket in a bullish scenario

￭To achieve similar levels of upside exposure to the basket as a direct investment, while using fewer dollars by taking advantage of the leverage factor

￭To provide limited protection against a loss of principal in the event of a decline of the basket as of the valuation date but only if the final basket value is greater than or equal to the downside threshold value

 

Maturity:	Approximately 3 years
Leverage factor:	At least 141.00% (applicable only if the final basket value is greater than the initial basket value). The actual leverage factor will be determined on the pricing date.
Downside threshold value:	80% of the initial basket value
Minimum payment at maturity:	None.  You could lose your entire initial investment in the Trigger PLUS.
Coupon:	None

Any payments on the Trigger PLUS depend on the credit risk of BofA Finance, as issuer, and BAC, as guarantor, and on the performance of the basket. The economic terms of the Trigger PLUS are based on BAC’s internal funding rate, which is the rate it would pay to borrow funds through the issuance of market-linked notes, and the economic terms of certain related hedging arrangements BAC’s affiliates enter into. BAC’s internal funding rate is typically lower than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference in funding rate, as well as the agent's commissions and fees, if any, and the hedging related charges described below (see “Risk Factors” beginning on page 7), will reduce the economic terms of the Trigger PLUS to you and the initial estimated value of the Trigger PLUS. Due to these factors, the price to public you pay to purchase the Trigger PLUS will be greater than the initial estimated value of the Trigger PLUS as of the pricing date.

 

The initial estimated value range of the Trigger PLUS is set forth on the cover page of this pricing supplement. The final pricing supplement will set forth the initial estimated value of the Trigger PLUS as of the pricing date. For more information about the initial estimated value and the structuring of the Trigger PLUS, see “Risk Factors” beginning on page 7 and “Structuring the Trigger PLUS” on page 16.

 

The Trigger PLUS are our senior debt securities. Any payments on the Trigger PLUS are fully and unconditionally guaranteed by BAC. The Trigger PLUS and the related guarantee are not insured by the Federal Deposit Insurance Corporation or secured by collateral. The Trigger PLUS will rank equally in right of payment with all of our other unsecured and unsubordinated obligations, except obligations that are subject to any priorities or preferences by law. The related guarantee will rank equally in right of payment with all of BAC’s other unsecured and unsubordinated obligations, except obligations that are subject to any priorities or preferences by law, and senior to its subordinated obligations. Any payments due on the Trigger PLUS, including any repayment of the principal amount, will be subject to the credit risk of BofA Finance, as issuer, and BAC, as guarantor.

 

 

 

 

August 2026Page 3

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Key Investment Rationale

The Trigger PLUS do not provide for the regular payment of interest. Instead, the Trigger PLUS are for investors who seek the potential to earn at least 141.00% (set on the pricing date) of any positive return of the basket in exchange for the risk of losing all or a significant portion of the principal amount of their Trigger PLUS.

The following scenarios are for illustrative purposes only to demonstrate how the payment at maturity is calculated, and do not attempt to demonstrate every situation that may occur.  Accordingly, the payment at maturity may be significantly less than the stated principal amount of the Trigger PLUS. 

Scenario 1: Investors receive principal back and a positive return at maturity	On the valuation date, the basket closes above the initial basket value. At maturity, investors will receive the stated principal amount of their investment plus a return reflecting at least 141% (set on the pricing date) of the upside performance of the basket.
Scenario 2: Investors receive the stated principal amount at maturity	On the valuation date, the basket closes below the initial basket value but at or above the downside threshold value. At maturity, investors will receive a cash payment equal to $1,000.00 per Trigger PLUS.
Scenario 3: Investors suffer a substantial loss of principal at maturity	On the valuation date, the basket closes below the downside threshold value. At maturity, investors will receive an amount equal to the stated principal amount multiplied by the basket performance factor. Under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero.

 

 

August 2026Page 4

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Hypothetical Examples

The examples below illustrate how the payment at maturity will be calculated. For ease of analysis, figures below may have been rounded.

The examples are based on the initial basket value of 100.00, the downside threshold value of 80.00, a hypothetical leverage factor of 141% and the hypothetical initial basket component values, final basket component values, multipliers and final basket values indicated below. Your actual payment at maturity will depend on the actual final basket value of the basket on the valuation date.

Example 1—Upside Scenario. The hypothetical final basket value of the basket is 110.00 (a 10% increase from the hypothetical initial basket value).

	Column A	Column B	Column C		Column D	Column E
Underlying Index	Hypothetical Initial Basket Component Value	Hypothetical Final Basket Component Value	Column B / Column A		Hypothetical Multiplier	Column B x Column D
EURO STOXX 50® Index (40.00% weighting)	100.00	110.00	110.00%		0.40000	44.00
TOPIX® Index (25.00% weighting)	100.00	110.00	110.00%		0.25000	27.50
FTSE® 100 Index (17.50% weighting)	100.00	110.00	110.00%		0.17500	19.25
Swiss Market Index (10.00% weighting)	100.00	110.00	110.00%		0.10000	11.00
S&P/ASX 200 Index (7.50% weighting)	100.00	110.00	110.00%		0.07500	8.25
				Final Basket Value:		110.00
				Basket Percent Increase:		10.00%

 

In this scenario, because the final basket value of the basket on the valuation date is greater than the initial basket value, the payment at maturity per Trigger PLUS would be calculated as follows:

Payment at maturity per Trigger PLUS = $1,000 + ($1,000 × leverage factor × basket percent increase)

= $1,000 + ($1,000 x 141% x 10%)

= $1,141.00

In this scenario, because the final basket value of the basket on the valuation date is greater than the initial basket value, you would be repaid the stated principal amount of $1,000.00 per Trigger PLUS at maturity plus a return reflecting 141% of the appreciation of the basket. Investors would receive $1,141.00 per Trigger PLUS at maturity.

 

August 2026Page 5

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Example 2—Par Scenario. The hypothetical final basket value of the basket is 90.00 (a 10% decrease from the hypothetical initial basket value).

	Column A	Column B	Column C		Column D		Column E
Basket Component	Hypothetical Initial Basket Component Value	Hypothetical Final Basket Component Value	Column B / Column A		Hypothetical Multiplier		Column B x Column D
EURO STOXX 50® Index (40.00% weighting)	100.00	90.00	90.00%		0.40000		36.00
TOPIX® Index (25.00% weighting)	100.00	90.00	90.00%		0.25000		22.50
FTSE® 100 Index (17.50% weighting)	100.00	90.00	90.00%		0.17500		15.75
Swiss Market Index (10.00% weighting)	100.00	90.00	90.00%		0.10000		9.00
S&P/ASX 200 Index (7.50% weighting)	100.00	90.00	90.00%		0.07500		6.75
				Final Basket Value:			90.00

 

In this scenario, because the final basket value of the basket is less than the initial basket value but greater than or equal to the downside threshold value, you would be repaid the stated principal amount of $1,000.00 per Trigger PLUS and would not receive any positive return at maturity.

Example 3—Downside Scenario. The hypothetical final basket value of the basket is 68.50 (a 31.50% decrease from the hypothetical initial basket value).

	Column A	Column B	Column C	Column D		Column E
Basket Component	Hypothetical Initial Basket Component Value	Hypothetical Final Basket Component Value	Column B / Column A	Hypothetical Multiplier		Column B x Column D
EURO STOXX 50® Index (40.00% weighting)	100.00	15.00	15.00%	0.40000		6.00
TOPIX® Index (25.00% weighting)	100.00	100.00	100.00%	0.25000		25.00
FTSE® 100 Index (17.50% weighting)	100.00	100.00	100.00%	0.17500		17.50
Swiss Market Index (10.00% weighting)	100.00	110.00	110.00%	0.10000		11.00
S&P/ASX 200 Index (7.50% weighting)	100.00	120.00	120.00%	0.07500		9.00
				Final Basket Value:		68.50

In this example, the hypothetical final basket component value of the EURO STOXX 50^® Index is less than its hypothetical initial basket component value, while the hypothetical final basket component values of the TOPIX^® Index and the FTSE^® 100 Index are equal to their applicable hypothetical initial basket component values and the hypothetical final basket component values of the Swiss Market Index and the S&P/ASX 200 Index are greater than their applicable hypothetical initial basket component values.

Because the basket is unequally weighted, increases in the lower weighted basket components will be offset by a decrease in the more heavily weighted basket component. In this example, the large decline in the EURO STOXX 50^® Index results in the hypothetical final basket value being less than the initial basket value of 100.00 even though the TOPIX^® Index and the FTSE^® 100 Index remained flat and the Swiss Market Index and the S&P/ASX 200 Index increased.

In this scenario, because the final basket value of the basket on the valuation date is less than the downside threshold value, the payment at maturity per Trigger PLUS would be calculated as follows:

Payment at maturity per Trigger PLUS = ($1,000 × the basket performance factor)

= ($1,000 × 68.50%)

= $685.00

In this scenario, the basket on the valuation date has depreciated below the downside threshold value. Accordingly, your payment at maturity in this scenario would reflect 1-to-1 downside exposure to the depreciation of the basket from the initial basket value to the final basket value, and you would incur a significant loss on your investment.

August 2026Page 6

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Risk Factors

Your investment in the Trigger PLUS entails significant risks, many of which differ from those of a conventional debt security. Your decision to purchase the Trigger PLUS should be made only after carefully considering the risks of an investment in the Trigger PLUS, including those discussed below, with your advisors in light of your particular circumstances. The Trigger PLUS are not an appropriate investment for you if you are not knowledgeable about significant elements of the Trigger PLUS or financial matters in general. You should carefully review the more detailed explanation of risks relating to the Trigger PLUS in the “Risk Factors” sections beginning on page PS-3 of the accompanying product supplement, page S-7 of the accompanying prospectus supplement and page 7 of the accompanying prospectus, each as identified on the cover page of this pricing supplement.

Structure-related Risks

●Your investment may result in a significant loss; there is no guaranteed return of principal. There is no fixed principal repayment amount on the Trigger PLUS at maturity. If the final basket value is less than the downside threshold value, at maturity, you will lose 1% of the principal amount for each 1% that the final basket value is less than the initial basket value. In that case, you will lose a significant portion or all of your investment in the Trigger PLUS.

●The Trigger PLUS do not bear interest. Unlike a conventional debt security, no interest payments will be paid over the term of the Trigger PLUS, regardless of the extent to which the final basket value of the basket exceeds the initial basket value.

●Your return on the Trigger PLUS may be less than the yield on a conventional debt security of comparable maturity. Any return that you receive on the Trigger PLUS 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 Trigger PLUS may not reflect the full opportunity cost to you when you consider factors, such as inflation, that affect the time value of money.

●The payment at maturity will not reflect changes in the value of the basket other than on the valuation date. The value of the basket during the term of the Trigger PLUS other than on the valuation date will not affect payments on the Trigger PLUS. Notwithstanding the foregoing, investors should generally be aware of the performance of the basket while holding the Trigger PLUS, as the performance of the basket may influence the market value of the Trigger PLUS. The calculation agent will calculate the payment at maturity by comparing only the initial basket value or downside threshold value, as applicable, to the final basket value for the basket. No other values of the basket will be taken into account. As a result, if the final basket value of the basket is less than the downside threshold value, you will receive significantly less than the principal amount at maturity even if the value of the basket was always above the downside threshold value prior to the valuation date.

●Changes in the level of one of the basket components may be offset by changes in the levels of the other basket components. The Trigger PLUS are linked to the basket. Changes in the level of one or more of the basket components may not correlate with changes in the levels of one or more of the other basket components. The levels of one or more basket components may increase, while the levels of one or more of the other basket components may decrease or not increase as much. Therefore, in calculating the value of the basket, increases in the level of one basket component may be moderated or wholly offset by decreases or lesser increases in the level of one or more of the other basket components.

●The basket components are not equally weighted. The Trigger PLUS are linked to a basket of five basket components, and the basket components have significantly different weights in determining the value of the basket. The same percentage change in each of the basket components would therefore have different effects on the basket closing value because of the unequal weighting. For example, if the weighting of one basket component is greater than the weighting of another basket component, a 5% decrease in the value of the basket component with the greater weighting will have a greater impact on the basket closing value than a 5% increase in the value of the basket component with the lesser weighting.

●Any payments on the Trigger PLUS 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, or any amounts payable on, the Trigger PLUS. The Trigger PLUS are our unsecured senior debt securities. Any payment on the Trigger PLUS will be fully and unconditionally guaranteed by the guarantor. The Trigger PLUS are not guaranteed by any entity other than the guarantor. As a result, your receipt of the payment at maturity will be dependent upon our ability and the ability of the guarantor to repay our respective obligations under the Trigger PLUS on the maturity date, regardless of the final basket value of the basket as compared to the initial basket value. 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 Trigger PLUS. 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 Trigger PLUS.

In addition, our credit ratings and the credit ratings of the guarantor are assessments by ratings agencies of our respective abilities to pay our obligations.  Consequently, our or the guarantor’s perceived creditworthiness and actual or anticipated decreases in our or the guarantor’s credit ratings or increases in the spread between the yield on our respective securities and the yield on U.S. Treasury securities (the “credit spread”) prior to the maturity date may adversely affect the market value of the Trigger PLUS.  However, because your return on the Trigger PLUS depends upon factors in addition to our ability and the ability of the guarantor to pay our respective obligations, such as the value of the basket, an improvement in our or the guarantor’s credit ratings will not reduce the other investment risks related to the Trigger PLUS.

●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 payment of our obligations under 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 Trigger PLUS in the ordinary course. Therefore, our ability to make payments on the Trigger PLUS may be limited.

Valuation- and Market-related Risks

●The price to public you pay for the Trigger PLUS will exceed their initial estimated value. The range of initial estimated values of the Trigger PLUS that is provided on the cover page of this pricing supplement, and the initial estimated value as of the pricing date that will be provided in the final pricing supplement, are each estimates only, determined as of a particular point in time by reference to our and our affiliates’ pricing models. These pricing models consider certain

August 2026Page 7

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

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 Trigger PLUS.  These pricing models rely in part on certain forecasts about future events, which may prove to be incorrect. If you attempt to sell the Trigger PLUS 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 value of the basket, changes in the guarantor’s internal funding rate, and the inclusion in the price to public of the agent’s commissions and fees, if any, and the hedging related charges, all as further described in “Structuring the Trigger PLUS” below. These factors, together with various credit, market and economic factors over the term of the Trigger PLUS, are expected to reduce the price at which you may be able to sell the Trigger PLUS in any secondary market and will affect the value of the Trigger PLUS 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 Trigger PLUS in any secondary market (if any exists) at any time. The value of your Trigger PLUS at any time after issuance will vary based on many factors that cannot be predicted with accuracy, including the performance of the basket, our and BAC’s creditworthiness and changes in market conditions.

●We cannot assure you that a trading market for your Trigger PLUS will ever develop or be maintained. We will not list the Trigger PLUS on any securities exchange. We cannot predict how the Trigger PLUS will trade in any secondary market or whether that market will be liquid or illiquid.

Conflict-related Risks

●Trading and hedging activities by us, the guarantor and any of our other affiliates, including BofAS, may create conflicts of interest with you and may adversely affect your return on the Trigger PLUS and their market value. We, the guarantor or one or more of our other affiliates, including BofAS, may buy or sell the securities held by or included in the basket components, or futures or options contracts or exchange traded instruments on the basket components or those securities, or other listed or over-the-counter derivative instruments whose value is derived from the basket components or those securities. While we, the guarantor or one or more of our other affiliates, including BofAS, may from time to time own securities represented by the basket components, except to the extent that BAC’s common stock may be included in the basket components, we, the guarantor and our other affiliates, including BofAS, do not control any company included in the basket components, 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 Trigger PLUS. These transactions may present a conflict of interest between your interest in the Trigger PLUS and the interests we, the guarantor and our other affiliates, including BofAS, may have in our or their proprietary accounts, in facilitating transactions, including block trades, for our or their other customers, and in accounts under our or their management. These transactions may adversely affect the value of the basket in a manner that could be adverse to your investment in the Trigger PLUS. 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 Trigger PLUS), may adversely affect the value of the basket. Consequently, the value of the basket may change subsequent to the pricing date, which may adversely affect the market value of the Trigger PLUS.

We, the guarantor or one or more of our other affiliates, including BofAS, also expect to engage in hedging activities that could adversely affect the value of the basket on the pricing date. In addition, these hedging activities, including the unwinding of a hedge, may decrease the market value of your Trigger PLUS prior to maturity, and may adversely affect the amounts to be paid on the Trigger PLUS. 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 Trigger PLUS, the basket components or the securities represented by the basket components and may hold or resell the Trigger PLUS, the basket components or the securities represented by the basket components. For example, BofAS may enter into these transactions in connection with any market making activities in which it engages. We cannot assure you that these activities will not adversely affect the value of the basket, the market value of your Trigger PLUS prior to maturity or the amounts payable, if any, on the Trigger PLUS.

●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 Trigger PLUS and, as such, will make a variety of determinations relating to the Trigger PLUS, including the amounts that will be paid on the Trigger PLUS. Under some circumstances, these duties could result in a conflict of interest between its status as our affiliate and its responsibilities as calculation agent.

Basket component-related Risks

●The publisher of a basket component may adjust that basket component in a way that affects its level, and the publisher has no obligation to consider your interests. The publisher of a basket component can add, delete, or substitute the components included in that basket component or make other methodological changes that could change its level. Any of these actions could adversely affect the value of your Trigger PLUS.

●The Trigger PLUS are subject to risks associated with foreign securities markets. The basket components each include 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 basket components 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

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. In addition, you will not obtain the benefit of any increase in the value of the currencies in which the securities included in the basket components trade against the U.S. dollar, which you would have received if you had owned the securities represented by the basket components during the term of your Trigger PLUS, although the level of the basket components may be adversely affected by general exchange rate movements in the market.

●Governmental regulatory actions, such as sanctions, could adversely affect your investment in the Trigger PLUS.  Governmental regulatory actions, including, without limitation, sanctions-related actions by the U.S. or a foreign government, could prohibit or otherwise restrict persons from holding the Trigger PLUS or the component securities of the basket components, or engaging in transactions therein, and any such action could adversely affect the value of the basket or the Trigger PLUS.  These regulatory actions could result in restrictions on the Trigger PLUS and could result in the loss of a significant portion or all of your initial investment in the Trigger PLUS, including if you are forced to divest the Trigger PLUS due to the government mandates, especially if such divestment must be made at a time when the value of the Trigger PLUS has declined.

 

Tax-related Risks

●The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain, and may be adverse to a holder of the Trigger PLUS. No statutory, judicial, or administrative authority directly addresses the characterization of the Trigger PLUS or securities similar to the Trigger PLUS for U.S. federal income tax purposes.  As a result, significant aspects of the U.S. federal income tax consequences of an investment in the Trigger PLUS are not certain. Under the terms of the Trigger PLUS, you will have agreed with us to treat the Trigger PLUS as single financial contracts, as described below under “Additional Information About the Trigger PLUS—Tax considerations—General.” If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the Trigger PLUS, the timing and character of gain or loss with respect to the Trigger PLUS may differ. No ruling will be requested from the IRS with respect to the Trigger PLUS and no assurance can be given that the IRS will agree with the statements made in the section entitled “Additional Information About the Trigger PLUS—Tax considerations.” 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 Trigger PLUS.

August 2026Page 9

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

The Basket and the Underlying Indices

The Basket

The basket is composed of five underlying indices with the following basket component weightings within the basket: the EURO STOXX 50^® Index (40.00% weighting), the TOPIX^® Index (25.00% weighting), the FTSE^® 100 Index (17.50% weighting), the Swiss Market Index (10.00% weighting) and the S&P/ASX 200 Index (7.50% weighting).

All disclosures contained in this pricing supplement regarding the underlying indices, including, without limitation, their make-up, method of calculation, and changes in their components, have been derived from publicly available sources. The information reflects the policies of, and is subject to change by, the sponsor of the SX5E, the sponsor of the TPX, the sponsor of the UKX, the sponsor of the SMI and the sponsor of the AS51 (collectively, the “underlying index sponsors”). The underlying index sponsors, which license the copyright and all other rights to the underlying indices, have no obligation to continue to publish, and may discontinue publication of, the underlying indices. The consequences of any underlying index sponsor discontinuing publication of the applicable underlying index are discussed in “Description of the Notes — Discontinuance of an Index” in the accompanying product supplement. None of us, the guarantor, the calculation agent, or BofAS accepts any responsibility for the calculation, maintenance or publication of any underlying index or any successor index. None of us, the guarantor, BofAS or any of our other affiliates makes any representation to you as to the future performance of the underlying indices. You should make your own investigation into the underlying indices.

EURO STOXX 50^® Index Summary

EURO STOXX 50^® Index

The SX5E is composed of 50 stocks from 11 Eurozone countries (Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain) of the STOXX Europe 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries and are organized into the following 20 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; consumer products & services; energy; financial services; food, beverages & tobacco; health care; industrial goods & services; insurance; media; personal care, drug & grocery stores; real estate; retailers; technology; telecommunications; travel & leisure; and utilities.

Information as of market close on July 29, 2026:

Bloomberg Ticker Symbol:	SX5E
Current Index Value:	6,248.84
52 Weeks Ago:	5,379.20
52 Week High (on July 3, 2026):	6,412.68
52 Week Low (on August 1, 2025):	5,165.60

 

For additional historical information, see “EURO STOXX 50^® Index Historical Performance” below. For additional information about the EURO STOXX 50^® Index, see the information set forth in “Annex A—The EURO STOXX 50^® Index” below.

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

EURO STOXX 50^® Index Historical Performance

 

The index closing value of this basket component on July 29, 2026 was 6,248.84. The following graph sets forth the daily index closing values of this basket component for the period noted below. We obtained the historical information presented in this document from Bloomberg Financial Markets, without independent verification. This basket component has at times experienced periods of high volatility. The historical performance of this basket component should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of this basket component at any time.

SX5E Daily index closing values January 2, 2021 to July 29, 2026

TOPIX^® Index Summary

TOPIX^® Index

The TOPIX^® (Bloomberg ticker “TPX”), also known as the Tokyo Stock Price Index, is a capitalization weighted index of all the domestic common stocks listed on the First Section of the TSE.  Domestic stocks admitted to the TSE are assigned either to the TSE First Section Index, the TSE Second Section Index or the TSE Mothers Index.  Stocks listed in the First Section, which number approximately 1,750, are among the most actively traded stocks on the TSE.  The TOPIX^® is supplemented by the sub-basket components of the 33 industry sectors and was developed with a base index value of 100 as of January 4, 1968.  The TOPIX^® is calculated and published by TSE.  Additional information about the TOPIX^® (including information regarding the industries represented by the securities included in the Basket Underlier and their respective weightings) is available on the following website: http://www.tse.or.jp/english/market/topix/index.html.  We are not incorporating by reference that website or any material it includes in this pricing supplement.

Information as of market close on July 29, 2026:

Bloomberg Ticker Symbol:	TPX
Current Index Value:	3,974.03
52 Weeks Ago:	2,908.64
52 Week High (on July 6, 2026):	4,101.96
52 Week Low (on July 29, 2025):	2,908.64

 

For additional historical information, see “TOPIX^® Index Historical Performance” below. For additional information about the TOPIX^® Index, see the information set forth in “Annex B—The TOPIX^® Index” below.

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

TOPIX^® Index Historical Performance

 

The index closing value of this basket component on July 29, 2026 was 3,974.03. The following graph sets forth the daily index closing values of this basket component for the period noted below. We obtained the historical information presented in this document from Bloomberg Financial Markets, without independent verification. This basket component has at times experienced periods of high volatility. The historical performance of this basket component should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of this basket component at any time.

TPX Daily index closing values January 2, 2021 to July 29, 2026

FTSE^® 100 Index Summary

FTSE^® 100 Index

The UKX is a market capitalization-weighted index of the 100 most highly capitalized U.K.-listed blue chip companies traded on the London Stock Exchange. The UKX was developed with a base level of 1,000 as of December 30, 1983. It is calculated, published and disseminated by FTSE, a company owned by The London Stock Exchange Plc.

Information as of market close on July 29, 2026:

Bloomberg Ticker Symbol:	UKX
Current Index Value:	10,908.41
52 Weeks Ago:	9,136.32
52 Week High (on February 27, 2026):	10,910.55
52 Week Low (on August 1, 2025):	9,068.58

 

For additional historical information, see “FTSE^® 100 Index Historical Performance” below. For additional information about the FTSE^® 100 Index, see the information set forth in “Annex C—The FTSE^® 100 Index” below.

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

FTSE^® 100 Index Historical Performance

 

The index closing value of this basket component on July 29, 2026 was 10,908.41. The following graph sets forth the daily index closing values of this basket component for the period noted below. We obtained the historical information presented in this document from Bloomberg Financial Markets, without independent verification. This basket component has at times experienced periods of high volatility. The historical performance of this basket component should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of this basket component at any time.

UKX Daily index closing values January 2, 2021 to July 29, 2026

Swiss Market Index Summary

Swiss Market Index

The SMI is a price return float-adjusted market capitalization-weighted index of the 20 largest stocks traded on the SIX Swiss Exchange. The Management Committee of SIX Swiss Exchange is supported by an Index Commission (advisory board) in all index-related matters, notably in connection with changes to the index rules and adjustments, additions and exclusions outside of the established review and acceptance period. The Index Commission meets at least twice annually.

Information as of market close on July 29, 2026:

Bloomberg Ticker Symbol:	SMI
Current Index Value:	14,486.10
52 Weeks Ago:	11,958.91
52 Week High (on July 28, 2026):	14,571.33
52 Week Low (on August 6, 2025):	11,755.32

 

For additional historical information, see “Swiss Market Index Historical Performance” below. For additional information about the Swiss Market Index, see the information set forth in “Annex D—The Swiss Market Index” below.

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Swiss Market Index Historical Performance

 

The index closing value of this basket component on July 29, 2026 was 14,486.10. The following graph sets forth the daily index closing values of this basket component for the period noted below. We obtained the historical information presented in this document from Bloomberg Financial Markets, without independent verification. This basket component has at times experienced periods of high volatility. The historical performance of this basket component should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of this basket component at any time.

SMI Daily index closing values January 2, 2021 to July 29, 2026

S&P/ASX 200 Index Summary

S&P/ASX 200 Index

The AS51 includes 200 companies and covers approximately 80% of the Australian equity market by market capitalization. As discussed below, the AS51 is not limited solely to companies having their primary operations or headquarters in Australia or to companies having their primary listing on the Australian Securities Exchange (the “ASX”). All ordinary and preferred shares (if such preferred shares are not of a fixed income nature) listed on the ASX, including secondary listings, are eligible for the AS51. Hybrid stocks, bonds, warrants, preferred stock that provides a guaranteed fixed return and listed investment companies are not eligible for inclusion.

Information as of market close on July 29, 2026:

Bloomberg Ticker Symbol:	AS51
Current Index Value:	9,038.623
52 Weeks Ago:	8,704.614
52 Week High (on March 2, 2026):	9,200.890
52 Week Low (on March 23, 2026):	8,365.916

 

For additional historical information, see “S&P/ASX 200 Index Historical Performance” below. For additional information about the S&P/ASX 200 Index, see the information set forth in “Annex E—The S&P/ASX 200 Index” below.

August 2026Page 14

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

S&P/ASX 200 Index Historical Performance

 

The index closing value of this basket component on July 29, 2026 was 9,038.623. The following graph sets forth the daily index closing values of this basket component for the period noted below. We obtained the historical information presented in this document from Bloomberg Financial Markets, without independent verification. This basket component has at times experienced periods of high volatility. The historical performance of this basket component should not be taken as an indication of its future performance, and no assurance can be given as to the index closing value of this basket component at any time.

AS51 Daily index closing values January 2, 2021 to July 29, 2026

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Additional Terms of the Trigger PLUS

Please read this information in conjunction with the summary terms on the front cover of this document.

Additional Terms:
If the terms described herein are inconsistent with those described in the accompanying product supplement, prospectus supplement, or prospectus, the terms described herein shall control.
Denominations:	The Trigger PLUS will be issued in minimum denominations of $1,000.00 and whole multiples of $1,000.00 in excess thereof.
Calculation agent:	BofAS, an affiliate of BofA Finance.
Events of default and acceleration:	If an event of default, as defined in the senior indenture relating to the Trigger PLUS and in the section entitled “Description of Debt Securities of BofA Finance LLC—Events of Default and Rights of Acceleration” on page 51 of the accompanying prospectus, with respect to the Trigger PLUS occurs and is continuing, the amount payable to a holder of the Trigger PLUS upon any acceleration permitted under the senior indenture will be equal to the amount described under the caption “Payment at maturity” above, calculated as though the date of acceleration were the maturity date of the Trigger PLUS and as though the valuation date were the third index business day prior to the date of acceleration. In case of a default in the payment of the Trigger PLUS, whether at their maturity or upon acceleration, the Trigger PLUS will not bear a default interest rate.

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

August 2026Page 17

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

August 2026Page 18

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

August 2026Page 19

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

August 2026Page 20

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

August 2026Page 21

 

 

BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

 

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Annex A—The EURO STOXX 50^® Index

The SX5E was created by STOXX, which is owned by Deutsche Börse AG. Publication of the SX5E began in February 1998, based on an initial index level of 1,000 on December 31, 1991.

 

Index Composition and Maintenance

The SX5E is composed of 50 stocks from 11 Eurozone countries (Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain) of the STOXX Europe 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stocks traded on the major exchanges of 18 European countries and are organized into the following 20 Supersectors: automobiles & parts; banks; basic resources; chemicals; construction & materials; consumer products & services; energy; financial services; food, beverages & tobacco; health care; industrial goods & services; insurance; media; personal care, drug & grocery stores; real estate; retailers; technology; telecommunications; travel & leisure; and utilities.

 

For each of the 20 EURO STOXX regional supersector indices, the stocks are ranked in terms of free-float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding supersector index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All current stocks in the SX5E are then added to the selection list. All of the stocks on the selection list are then ranked in terms of free-float market capitalization to produce the final index selection list. The largest 40 stocks on the selection list are selected; the remaining 10 stocks are selected from the largest remaining current stocks ranked between 41 and 60; if the number of stocks selected is still below 50, then the largest remaining stocks are selected until there are 50 stocks. In exceptional cases, STOXX’s management board can add stocks to and remove them from the selection list.

 

The index components are subject to a capped maximum index weight of 10%, which is applied on a quarterly basis.

 

The composition of the SX5E is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the composition of the SX5E are made to ensure that the SX5E includes the 50 market sector leaders from within the EURO STOXX^® Index.

 

The free float factors for each component stock used to calculate the SX5E, as described below, are reviewed, calculated, and implemented on a quarterly basis and are fixed until the next quarterly review.

 

The SX5E is subject to a “fast exit rule.” The index components are monitored for any changes based on the monthly selection list ranking. A stock is deleted from the SX5E if: (a) it ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below for a consecutive period of two months in the monthly selection list. The highest-ranked stock that is not an index component will replace it. Changes will be implemented on the close of the fifth trading day of the month, and are effective the next trading day.

 

The SX5E is also subject to a “fast entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed for a fast-track addition on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection list generated end of February, May, August or November and (b) it ranks within the “lower buffer” on this selection list.

 

The SX5E is also reviewed on an ongoing monthly basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect the index composition are announced immediately, implemented two trading days later and become effective on the next trading day after implementation.

 

Index Calculation

The SX5E is calculated with the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against a fixed base quantity weight. The formula for calculating the index value can be expressed as follows:

 

The “free float market capitalization of the Index” is equal to the sum of the product of the price, the number of shares and the free float factor and the weighting cap factor for each component stock as of the time the SX5E is being calculated.

 

The SX5E is also subject to a divisor, which is adjusted to maintain the continuity of the index values across changes due to corporate actions, such as the deletion and addition of stocks, the substitution of stocks, stock dividends, and stock splits.

 

Neither we nor any of our affiliates, including Merrill Lynch, Pierce, Fenner & Smith Incorporated, accepts any responsibility for the calculation, maintenance, or publication of, or for any error, omission, or disruption in, the SX5E or any successor to the SX5E. STOXX does not guarantee the accuracy or the completeness of the SX5E or any data included in the SX5E. STOXX assumes no liability for any errors, omissions, or disruption in the calculation and dissemination of the SX5E. STOXX disclaims all responsibility for any errors or omissions in the calculation and dissemination of the SX5E or the manner in which the SX5E is applied in determining the amount payable on the securities.

 

License Agreement

August 2026Page 23

 

 

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Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
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One of our affiliates has entered into a non-exclusive license agreement with STOXX providing for the license to it and certain of its affiliated companies, including us, of the right to use indices owned and published by STOXX (including the SX5E) in connection with certain securities, including the securities.

 

The license agreement requires that the following language be stated in this pricing supplement:

 

“STOXX Limited, Deutsche Börse Group and their licensors, research partners or data providers have no relationship to us other than the licensing of the SX5E and the related trademarks for use in connection with the securities.

 

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not:

●sponsor, endorse, sell or promote the securities.

●recommend that any person invest in the securities or any other securities.

●have any responsibility or liability for or make any decisions about the timing, amount or pricing of the securities.

●have any responsibility or liability for the administration, management or marketing of the securities.

●consider the needs of the securities or the owners of the securities in determining, composing or calculating the SX5E or have any obligation to do so.

 

STOXX, Deutsche Börse Group and their licensors, research partners or data providers give no warranty, and exclude any liability (whether in negligence or otherwise), in connection with the securities or their performance.

 

STOXX does not assume any contractual relationship with the purchasers of the securities or any other third parties.

 

Specifically,

●STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not give any warranty, express or implied, and exclude any liability about:

●The results to be obtained by the securities, the owner of the securities or any other person in connection with the use of the SX5E and the data included in the SX5E;

●The accuracy, timeliness, and completeness of the SX5E and its data;

●The merchantability and the fitness for a particular purpose or use of the SX5E and its data;

●The performance of the securities generally.

●STOXX, Deutsche Börse Group and their licensors, research partners or data providers give no warranty and exclude any liability, for any errors, omissions or interruptions in the SX5E or its data;

●Under no circumstances will STOXX, Deutsche Börse Group or their licensors, research partners or data providers be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential damages or losses, arising as a result of such errors, omissions or interruptions in the SX5E or its data or generally in relation to the securities, even in circumstances where STOXX, Deutsche Börse Group or their licensors, research partners or data providers are aware that such loss or damage may occur.

The licensing agreement discussed above is solely for our benefit and that of STOXX, and not for the benefit of the owners of the securities or any other third parties.”

 

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BofA Finance LLC

Trigger PLUS Based on the Value of a Basket of Equity Indices due September 6, 2029
Trigger Performance Leveraged Upside Securities^SM  
Principal at Risk Securities

 

Annex B—The TOPIX^® Index

General

The TPX, also known as the Tokyo Price Index, is a free-float adjusted market capitalization weighted index comprised of domestic common stocks listed on the Tokyo Stock Exchange (TSE) covering an extensive portion of the Japanese stock market. On April 4, 2022, JPX Market Innovation & Research, Inc. (“JXPI”), the company that calculates the TPX, began revisions to TPX in conjunction with the restructuring of the TSE into three new market segments: the Prime Market, Standard Market or Growth Market. Revisions to the TPX will be carried out in stages from October 2022 to January 2025. Prior to April 4, 2022, the TPX was comprised of all domestic common stocks listed on the First Section of the TSE. At that time, domestic stocks admitted to the TSE were assigned either to the TSE First Section, TSE Second Section, TSE Mothers or JASDAQ (Standard and Growth). Additional information about the TPX (including constituent weightings by sector) is available on the following website: jpx.co.jp/english/markets/indices/topix/. We are not incorporating by reference the website or any material it includes in this pricing supplement.

Index Composition and Maintenance

As of April 4, 2022, the TPX was comprised of all domestic common stocks listed on the TSE First Section as of April 1, 2022 (the business day before the TSE market restructuring), excluding certain types of securities such as subscription warrant securities and preferred equity contribution securities. During the period from April 4, 2022 to January 31, 2025, constituent revisions will be carried out in stages as described further below.

Index Calculation

The TPX is a free-float adjusted market capitalization weighted index, which reflects movements in the market capitalization as measured from a base index value of 100 set on the base date of January 4, 1968. The discussion below describes the “price return” calculation of the TPX.

JPXI calculates the TPX by multiplying the base index value of 100 by the quotient of the current free-float-adjusted market value divided by the base market value. The resulting value is not expressed in Japanese yen but presented as a number of points, rounded to the nearest one hundredth. The formula for calculating the TPX value can be expressed as follows:

Index value =	Base index value of 100  ×	Current free-float-adjusted market value
		Base market value

The current free-float-adjusted market value is the sum of the products of the price times the number of free-float-adjusted shares for each constituent.

The number of free-float-adjusted shares for this calculation is the total number of listed shares multiplied by free-float weight multiplied by the cap-adjustment ratio. The total number of listed shares used for this purpose is usually the same as the number of actual listed shares. However, in some cases these numbers will differ as a consequence of the index methodology. For instance, in the case of a stock split, the number of listed shares will increase on the additional listing date after the stock split becomes effective; on the other hand, the number of listed shares for index calculation purposes will increase on the ex-rights date.

Free-float weight is the weight of listed shares deemed to be available for trading in the market, and is determined and calculated by JPXI for each constituent. It is calculated by subtracting the quotient of non-free-float shares divided by listed shares from one. Free-float weight is reviewed in order to reflect the latest distribution of share ownership. JPXI estimates non-free-float shares using published materials such as securities reports, and generally deems shares held by the top ten major shareholders (with certain exceptions), treasury stocks, shares held by members of the issuer’s board of directors to be unavailable for trading in the market and shares hold by other listed companies for investment purposes other than pure investment. JPXI may deem other shares to be unavailable for trading in the market. Securities deemed to be held by individuals indicated in the section of the state of corporate governance, etc. in the securities report will not be included in the estimation of non-free-float shares. The timing of the yearly free-float-weight review is different according to the settlement terms of listed companies. In addition to the yearly review, extraordinary reviews may be conducted for events JPXI expects will significantly affect the free-float weight. These include third-party allotment, when preferred shares are converted or subscription warrants are exercised, as well as in the event of a demerger, merger/stock-swap, take-over bid and other events JPXI judges deem will significantly affect free-float weight.

The upper weighting limit for any one constituent of the TPX is 10%. If an issue’s weight calculated by free-float adjusted market capitalization as of the last business day of every August is over the upper weighting limit, a cap-adjustment ratio for adjustment of weight will be applied to said issue on the last business day of October. Even if the weight again exceeds the upper limit due to stock price movements or other reasons, the cap-adjustment ratio will not be changed until the last business day of the next October.

In the event of any increase or decrease in the current free-float-adjusted market value due to causes other than fluctuations in the stock market, such as public offerings, adjustments are made by JPXI to the base market value in order to maintain the continuity of the Index.

The adjusted base market value will equal the old base market value multiplied by the quotient of the free-float-adjusted market value on the business day before the adjustment date plus or minus, as applicable, the adjustment amount divided by the free-float-adjusted market value on the business day before the adjustment date.

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The adjustment amount for the foregoing calculation will be an amount equal to the product of the change (the absolute value of the increase or decrease) in the number of shares used for index calculations times the price of the shares used for adjustment.

Weighting Adjustments by Tradable Share Market Capitalization Criteria (only applicable from April 4, 2022 through January 31, 2025)

i.Designation of “phased weighting reduction constituents”

●Of the constituents as of April 1, 2022, those that fall under both the following (a) and (b) will be designated as “phased weighting reduction constituents”:

(a)First decision: The constituent’s tradable share market capitalization is less then JPY 10 billion as of the “Notice on Whether the Listed Company is Meeting the Continued Listing Criteria for New Market Segments”, which has a base date of June 30, 2021, and

(b)Second decision: The constituent’s tradeable share market capitalization is less than JPY 10 billion at the end of the reporting period following the reporting period used in decision (a).

●Any constituent applying for listing on the First Section through an initial listing (excluding technical listings) or section transfer after the “first set of revisions pertaining to cash equity market restructuring” were implemented on November 1, 2020 will not be subject to designation as a phased weighting reduction constituent based on tradable share market capitalization.

ii.Adjustment to the weighting of phased weighting reduction constituents

●The weighting of phased weighting reduction constituents will be reduced in 10 stages on the last business day of every quarter starting on the last business day of October 2022 (October 31, 2022), and these constituents will be removed from the index on the last business day of January 2025.

●Said adjustments to the weighting of phased weighting reduction constituents will be calculated by multiplying the free-float weight by the transition factor (which will decrease from 1.0 to 0 in increments of 0.1)

●In order to check whether there have been changes to the tradeable share market capitalization of each phased weighting reduction constituent, a re-evaluation will be conducted, using tradable share market capitalization as of the end of the reporting period following the reporting period used for the second decision in (i)(b). If the tradable share market capitalization of a constituent has reached JPY 10 billion or more but the annual traded value ratio of said constituent has not reached 0.2 at this point, the transition factor will no longer decrease as of the fifth stage (it will stay at 0.6, the same as the fourth stage). If the tradable share market capitalization and the annual traded value ratio of a constituent have reached JPY 10 billion or more and 0.2 or more respectively at this point, the transition factor shall be increased to 1 in increments of 0.1 from the fifth stage and said constituent will be removed from the list of phased weighting reduction constituents. The traded value ratio used for the re-evaluation in (ii) is calculated using the sum of monthly traded value ratios from September 2022 to August 2023. The monthly traded value ratio shall be calculated as follows: (Median of daily traded value in trading sessions at TSE multiplied by the number of business days in the month) divided by the free-float adjusted market capitalization as of the last business day of the month before the transition factor was applied.

Transition Schedule

Transition Stage	Index Revision Date	Transition Factor
1st	Last business day of October 2022	x0.9
2nd	Last business day of January 2023	x0.8
3rd	Last business day of April 2023	x0.7
4th	Last business day of July 2023	x0.6
Re-evaluation
5th	Last business day of October 2023	x0.5
6th	Last business day of January 2024	x0.4
7th	Last business day of April 2024	x0.3
8th	Last business day of July 2024	x0.2
9th	Last business day of October 2024	x0.1
10th (removed from the TPX)	Last business day of January 2025	x0

Non-Periodic Removal

•Constituents which are delisted (excluding cases where the stock lists on another TSE market immediately), designated as securities to be delisted or designated as securities on alert shall be removed.

•If a constituent is designated as a security on alert as of the day of transition to the new market structure (April 4, 2022), said constituent will be removed from the TPX on the last business day of April 2022.

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Non-Periodic Inclusion

•Stocks which carry out initial listings (excluding technical listings) on or transfer to the Prime Market will be included in the TPX on the last business day of the month following the month containing the listing date or transfer date.

•In the event a constituent of the TPX is delisted due to a stock transfer, stock swap, merger for creating a new company or demerger, and the newly created, surviving or succeeding company is listed without delay, JPXI will add the new company to the index.

•In the event a constituent of the TPX is delisted due to a stock swap or absorption-type merger, in which the surviving company or the parent company holding all shares of the constituent company is not a constituent of the TPX, then JPXI will add the surviving company or the parent company to the index.

Dates of Constituent Inclusion and Removal

	Event	Adjustment Date	Stock Price Used for Adjustment
Addition	A company is to be newly listed on the Prime Market	Last business day of the month after such listing	Stock price at the end of trading on the business day before adjustment date
Addition	New listing of a newly formed company resulting from a corporate consolidation, stock transfer, stock swap, merger for creating a new company or demerger that results in a TPX constituent being delisted and the new company being included in the TPX.	New listing date. If the initial listing date falls on a holiday, it will be the following business day	Base price
Addition	Delisting of a TPX constituent due to a stock swap or an absorption-type merger with a surviving stock that is not a TPX constituent, and the surviving stock is included in the TPX	Delisting date	Stock price at the end of trading on the business day before adjustment date
Addition	A company is to be transferred to the Prime Market	Last business day of the month after such change	Stock price at the end of trading on the business day before adjustment date
Deletion	New listing of a newly formed company resulting from a corporate consolidation, stock transfer, stock swap, merger for creating a new company or demerger that results in a TPX constituent being delisted and the new company being included in the TPX.	Listing date of the newly formed company (normally two business days following delisting date)	Stock price at the end of trading on the business day before the delisting date. The stock price at the end of trading on the business day before the delisting date is used to calculate the TPX for the period from the delisting date to the removal date.
Deletion	A constituent is to be delisted due to a reason other than as described in the preceding scenario	Delisting date	Stock price at the end of trading on the business day before adjustment date
Deletion	A constituent’s securities are designated to be delisted or designated as a security on alert	Four business days after designation. If the designation date falls on a holiday, it will be the next business day.	Stock price at the end of trading on the business day before adjustment date

Changes in the number of shares and the price of the shares for adjustments to the base market value will be made as described in the table below.

Change in the Number of Shares

Event	Adjustment Date	Stock Price Used for Adjustment
Change of free-float weight	Date of change	Stock price at the end of trading on the business day before adjustment date
Public offering	Additional listing date (day after payment date). If listing date falls on a holiday, it will be the next business day	Stock price at the end of trading on the business day before adjustment date
Allocation of new shares to a third party	Five business days after additional listing date (two business days after payment date)	Stock price at the end of trading on the business day before adjustment date
Capital increase through allotment to shareholders	Ex-rights date	Payment price per share
Exercise of subscription warrants	Last business day of the month following exercise	Stock price at the end of trading on the business day before adjustment date
Conversion of preferred shares	Last business day of the month following conversion	Stock price at the end of trading on the business day before adjustment date

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Cancellation of treasury stock	Last business day of the month following cancellation	Stock price at the end of trading on the business day before adjustment date
Merger or stock swaps between a non-surviving constituent and another constituent	Delisting date of the non-surviving constituent	Stock price at the end of trading on the business day before adjustment date
Merger or stock swaps other than that described above	Listing change date (effective date)	Stock price at the end of trading on the business day before adjustment date
Rights offering (limited to case where the allotted subscription warrant securities are listed; the case where the allotted subscription warrant securities are not listed is treated as “Exercise of subscription warrants”)	Ex-rights date	Payment price per share
Offering for sale of shares held by the Japanese government (Nippon Telegraph, Telephone and Japan Tobacco and Japan Post Holdings only)	Date determined by JPXI (generally the delivery date)	Stock price at the end of trading on the business day before adjustment date
Demerger (absorption-type)	Listing change date (the effective date)	Stock price at the end of trading on the business day before adjustment date
Other adjustments	Last business day of the month in which the information appears in “Sho-ho” (TSE Notice) or the last business day of the following month	Stock price at the end of trading on the business day before adjustment date

No adjustments will be made to the base market value in the case of a stock split, reverse stock split, or gratis allotment of shares (limited to cases where treasury stock is allotted).

Retroactive adjustments will not be made to revise the figures of the TPX that have already been calculated and disseminated, even if issuing companies file amendments on previously released information.

Market Disruption

If trading in a certain constituent is halted, JPXI regards the constituent’s share price for purposes of calculating the TPX to be unchanged. Where an event that is not specified in the rules of the TPX occurs, or if JPXI decides that it is impossible to use its existing methods to calculate TOPIX Index, JPXI may use an alternate method of index calculation as it deems valid.

License Agreement

Our affiliate, Merrill Lynch, Pierce, Fenner & Smith Incorporated, has agreed to enter into a non-exclusive license agreement with the TSE, Inc. whereby Merrill Lynch, Pierce, Fenner & Smith Incorporated, in exchange for a fee, is permitted to use the TPX in connection with certain securities, including the securities. Merrill Lynch, Pierce, Fenner & Smith Incorporated is not affiliated with the TSE; the only relationship between the TSE and Merrill Lynch, Pierce, Fenner & Smith Incorporated is any licensing of the use of the TPX and trademarks relating to it.

The license agreement between BofAS and the TSE provides that the following disclaimer must be set forth herein:

(i)The TOPIX^® Index Value and the TOPIX^® Index Marks are subject to the rights owned by the TSE and the TSE owns all rights relating to the TPX, such as calculation, publication and use of the TOPIX^® Index Value and relating to the TOPIX^® Index Marks.

(ii)The TSE shall reserve the rights to change the methods of calculation or publication, to cease the calculation or publication of the TOPIX^® Index Value or to change the TOPIX^® Index Marks or cease the use thereof.

(iii)The TSE makes no warranty or representation whatsoever, either as to the results stemmed from the use of the TOPIX^® Index Value and the TOPIX^® Index Marks or as to the figure at which the TOPIX^® Index Value stands on any particular day.

(iv)The TSE gives no assurance regarding accuracy or completeness of the TOPIX^® Index Value and data contained therein. Further, the TSE shall not be liable for the miscalculation, incorrect publication, delayed or interrupted publication of the TOPIX^® Index Value.

(v)No securities are in any way sponsored, endorsed or promoted by the TSE.

(vi)The TSE shall not bear any obligation to give an explanation of the securities or an advice on investments to any purchaser of the securities or to the public.

(vii)The TSE neither selects specific stocks or groups thereof nor takes into account any needs of the issuing company or any purchaser of the securities for calculation of the TOPIX^® Index Value.

(viii)Including but not limited to the foregoing, the TSE shall not be responsible for any damage resulting from the issue and sale of the securities.

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“TOPIX^®” and “TOPIX Index^®” are trademarks of the TSE and prior to the settlement date we expect them to be licensed for use by the Issuer or one of its affiliates. The securities have not been and will not be passed on by the TSE as to their legality or suitability. The securities will not be issued, endorsed, sold or promoted by the TSE. THE TSE MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE SECURITIES.

 

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Annex C—The FTSE^® 100 Index

The UKX is a market capitalization-weighted index of the 100 most highly capitalized U.K.-listed blue chip companies traded on the London Stock Exchange. The UKX was developed with a base level of 1,000 as of December 30, 1983. It is calculated, published and disseminated by FTSE, a company owned by The London Stock Exchange Plc.

Additional information on the UKX is available from the following website: ftse.com/uk. We are not incorporating by reference that website or any material it includes in this document.

Index Composition and Selection Criteria

The UKX consists of the 100 largest U.K.-listed blue chip companies, based on full market capitalization, that pass screening tests for price and liquidity. The UKX is reviewed on a quarterly basis in March, June, September and December based on data from the close of business on the Tuesday before the first Friday of the review month. The FTSE Europe, Middle East & Africa Regional Advisory Committee (the “Committee”), meets quarterly to approve the constituents of the UKX. These meetings are held on the Wednesday before the first Friday in March, June, September and December. Any constituent changes are implemented after the close of business on the third Friday of the review month (i.e., effective Monday), following the expiration of the London International Financial Futures and Options Exchange futures and options contracts.

Eligibility Standards

Only “premium listed” equity shares, as defined by the Financial Conduct Authority in its Listing Rules Sourcebook, are eligible for inclusion in the UKX. Eligible stocks must pass price and liquidity screens before being included in the UKX. Additionally, a stock must have a free float (as described below) of greater than 5%.

Price Screen — With regard to the price screen, the Committee must be satisfied that an accurate and reliable price exists for purposes of determining the market value of a company. To be eligible for inclusion in the UKX, a stock must have a full listing on the London Stock Exchange with a Sterling-denominated price on SETS (the London Stock Exchange’s trading service for UK blue chip securities).

Minimum Voting Rights Screen — Companies are required to have greater than 5% of the company’s voting rights (aggregated across all of its equity securities, including, where identifiable, those that are not listed or trading) in the hands of unrestricted shareholders in order to be eligible for index inclusion. Current constituents who do not meet this requirement will have until the September 2022 review to meet the requirement or they will be removed from the index.

Liquidity Screen — With regard to liquidity, each eligible stock is tested for liquidity annually in June by calculating its median daily trading per month. When calculating the median of daily trades per month of any security, a minimum of five trading days in each month must exist, otherwise the month is excluded from the test. Liquidity is tested from the first business day in May of the previous year to the last business day of April. The median trade is calculated by ranking each daily trade total and selecting the middle-ranking day. Any period of suspension is not included in the test. The liquidity test is applied on a pro-rata basis where the testing period is less than 12 months. A stock not presently included in the UKX that does not turnover at least 0.025% of its shares in issue (after application of any investability weightings) based on its median daily trade per month in at least ten of the 12 months prior to the annual index review in June will not be eligible for inclusion until the next annual review. An existing constituent failing to trade at least 0.015% of its shares in issue (after the application of any investability weightings) based on its median daily trade per month for at least eight of the 12 months prior to the annual index review will be removed from the UKX and will not be eligible for inclusion until the next annual review. New issues will become eligible for inclusion in the UKX at the quarterly review following their issuance provided that they have a minimum trading record of at least 20 trading days prior to the review date and that they have turned over at least 0.025% of their shares in issue (after the application of any investability weightings) based on their median daily trade per month since listing.

Market Capitalization Ranking — Eligible stocks that pass the price and liquidity screens are ranked by the Committee according to their market capitalization before the application of any adjustments based on the extent to which the shares are publicly traded. Only the quoted equity capital of a constituent company will be included in the calculation of its market capitalization. Where a company has two or more classes of equity, secondary lines will be included in the calculation of the market capitalization of the company only if those lines are significant and liquid. The Committee will add a stock to the UKX at the quarterly review if it has risen to 90th place or above on the full market capitalization rankings and will delete a stock at the quarterly review if it has fallen to 111th place or below on these rankings. Market capitalization rankings are calculated using data as of the close of business on the day before the review.

100 Constituent Limitation — The UKX always contains 100 constituents. If a greater number of companies qualify to be inserted in the UKX than qualify to be removed, the lowest ranking constituents of the UKX will be removed so that the total number of stocks remains at 100 following inclusion of those that qualify to be inserted. Likewise, if a greater number of companies qualify to be removed than to be inserted at the quarterly review, securities of the highest ranking companies that are then not included in the UKX will be inserted to match the number of companies being removed, in order to maintain the total at 100.

 

 

 

 

Index Calculation

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The UKX is a market capitalization weighted index. This means that the price movement of a larger company (that is, one representing a larger percentage of the UKX) will have a greater effect on the level of the UKX than will the price movement of a smaller company (that is, one representing a smaller percentage of the UKX).

The value of the UKX is represented by a fraction, (a) the numerator of which is the sum of the product of (i) the price of each component stock, (ii) the number of shares issued for each such component and (iii) a free float factor for each such component (described more fully below), and (b) the denominator of which is a divisor. The divisor represents the total issued share capital of the UKX on the base date; the divisor may be adjusted as necessary to allow for changes in issued share capital of individual securities without distorting the UKX.

As noted above, a free float factor is applied to each index component. By employing this approach, FTSE uses the investable market capitalization, not the total market capitalization, of each constituent to determine the value of the UKX. Investable market capitalization depends on free float. The following are excluded from free float: shares directly owned by state, regional, municipal and local governments (excluding shares held by independently managed pension schemes for governments); shares held by sovereign wealth funds where each holding is 10% or greater of the total number of shares in issue (if the holding subsequently decreases below 10%, the shares will be excluded from free float until the holding falls below 7%); shares held by directors, senior executives and managers of the company, and by their family and direct relations, and by companies with which they are affiliated; shares held within employee share plans; shares held by public companies or by non-listed subsidiaries of public companies; shares held by founders, promoters, former directors, founding venture capital and private equity firms, private companies and individuals (including employees) where the holding is 10% or greater of the total number of shares in issue (if the holding subsequently decreases below 10%, the shares will be excluded from free float until the holding falls below 7%); all shares where the holder is subject to a lock-in clause (for the duration of that clause, after which free float changes resulting from the expiration of a lock-in clause will be implemented at the next quarterly review subsequent to there being a minimum of 20 business days between the expiration date of such lock-in clause and the index review date); shares held for publicly announced strategic reasons, including shares held by several holders acting in concert; and shares that are subject to ongoing contractual agreements (such as swaps) where they would ordinarily be treated as restricted.

The UKX is recalculated whenever errors or distortions occur that are deemed to be significant. Users of the UKX are notified through appropriate media.

Index Maintenance

The UKX is reviewed quarterly for changes in free float. A stock’s free float is also reviewed and adjusted if necessary following certain corporate events. Following a takeover or merger involving one or more index constituents, the free float restrictions will be based on restricted holdings in the successor company and will be implemented when the offer has completed (or lapsed) unless it directly reflects a corporate action independent of and not conditional on the takeover or merger completing or lapsing. If the corporate event includes another corporate action that affects the UKX, a change in free float is implemented at the same time as the corporate action. If there is no corporate action, the change in free float will be applied at the next quarterly review. Following the application of an initial free float restriction, a stock’s free float will only be changed if its rounded free float moves more than three percentage points above or below the existing rounded free float. Companies with a free float of above 99% and of 15% or below will not be subject to the three percentage points threshold.

At each quarterly review, the Committee publishes a Reserve List containing the six highest ranking non-constituents of the UKX. The Reserve List will be used in the event that one or more constituents are deleted from the UKX during the period up to the next quarterly review. If a merger or takeover results in one index constituent being absorbed by another constituent, the resulting company will remain a constituent and a vacancy will be created. This vacancy will be filled by selecting the highest ranking security in the Reserve List as at the close of the index calculation two days prior to the deletion and related index adjustment. If an index constituent is taken over by a non-constituent company, the original constituent will be removed and replaced by the highest ranking non-constituent on the Reserve List. Any eligible company resulting from the takeover will be eligible to become the replacement company if it is ranked higher than any other company on the Reserve List. If a constituent company is split to form two or more companies, then the resulting companies will be eligible for inclusion as index constituents, based on their respective full market capitalizations (before the application of any investability weightings), provided that they qualify in all other respects. Any eligible company resulting from a split that has no available market price after 20 business days will be removed. If a split results in the inclusion of an ineligible non-equity security, such security will remain in the UKX for two trading days and then be removed. If a constituent is delisted or ceases to have a firm quotation, it will be removed from the list of constituents and be replaced by the highest ranking eligible company from the Reserve List as at the close of the index calculation two days prior to the deletion.

Capitalization Adjustments

A premium listed secondary line of a company will be considered for index inclusion if its total market capitalization before the application of any adjustments based on the extent to which the shares are publicly traded, is greater than 25% of the total market capitalization of the company’s principal line and the secondary line is eligible, in its own right. Should the total market capitalization of a secondary line fall below 20% of the total market capitalization of the company’s principal line at an annual review, the secondary line will be deleted from the UKX unless its total market capitalization remains above the qualification level for continued inclusion as a constituent of the UKX at that review. Where a company has partly paid shares, these shares, together with the outstanding call(s), are both included in the UKX. Warrants to purchase ordinary shares and convertible securities are not included in the UKX until they are exercised or converted.

Share Weighting Changes — For the purposes of computing the UKX, the number of shares in issue for each constituent security is expressed to the nearest share and, to prevent a large number of insignificant weighting changes, the number of shares in issue for each constituent security is amended only when the total shares

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in issue held within the index system changes by more than 1% on a cumulative basis. Changes will be made quarterly after the close of business on the third Friday of March, June, September and December. The data for these changes will be taken from the close of business on the third Wednesday of the month prior to the review month.

If a corporate action is applied to a constituent, which involves a change in the number of shares in issue, the change in shares will be applied simultaneously with the corporate action. If accumulated changes in the number of shares in issue add up to 10% or more or when an accumulated share change represents $2 billion of a company’s total market capitalization, they are implemented between quarters. If an adjustment is made, it will be applied for the first time at the next review in March of the following year. All adjustments are made before the start of the index calculation on the day concerned, unless market conditions prevent this.

Shares in Issue Increase — When a company increases the number of shares it has in issue, the market capitalization of that company increases and the total market capitalization will rise accordingly. The index divisor is adjusted to maintain a constant index value.

Weighting Amendments — The market capitalization of a company is adjusted to take account of various corporate actions, in accordance with the rules of the UKX. To prevent the value of the UKX from changing due to such an event, all corporate actions which affect the market capitalization of the UKX require an offsetting divisor adjustment. By adjusting the divisor, the value of the UKX remains constant before and after the event. Below is a summary of the more frequent corporate actions and their resulting adjustment.

Market Disruption

If there is a system problem or situation in the market that is judged by FTSE to affect the quality of the constituent prices at any time when the UKX is being calculated, the UKX will be declared indicative (e.g., normally where a “fast market” exists in the equity market). The message “IND” will be displayed against the index value calculated by FTSE. The Committee must be satisfied that an accurate and reliable price for the purposes of determining the market value of a company exists. The Committee may exclude a security from the UKX should it consider that an “accurate and reliable” price is not available.

If any event leads to an error in the value of the UKX that is greater than three basis points at the local country index level, then the UKX will generally be recalculated, subject to discovery, within one month of the event. Where an alternative approach is available, FTSE may, at its sole discretion, choose not to recalculate.

License Agreement

These Notes are not in any way sponsored, endorsed, sold or promoted by FTSE or by The London Stock Exchange Plc (the “Exchange”) or by The Financial Times Limited (“FT”) and neither FTSE or Exchange or FT makes any warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE^® 100 Index and/or the figure at which the said index stands at any particular time on any particular day or otherwise. The index is compiled and calculated solely by FTSE. However, neither FTSE or Exchange or FT shall be liable (whether in negligence or otherwise) to any person for any error in the index and neither FTSE or Exchange or FT shall be under any obligation to advise any person of any error therein.

“FTSE^TM” and “Footsie^TM” are trademarks of The London Stock Exchange Plc and The Financial Times Limited and are used by FTSE under license.

 

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Annex D—The Swiss Market Index

The SMI:

•was first launched with a base level of 1,500 as of June 30, 1988; and

•is sponsored, calculated, published and disseminated by SIX Group Ltd., certain of its subsidiaries, and the Management Committee of the SIX Swiss Exchange.

The SMI is a price return float-adjusted market capitalization-weighted index of the 20 largest stocks traded on the SIX Swiss Exchange. The Management Committee of SIX Swiss Exchange is supported by an Index Commission (advisory board) in all index-related matters, notably in connection with changes to the index rules and adjustments, additions and exclusions outside of the established review and acceptance period. The Index Commission meets at least twice annually.

Information regarding the SMI may be found on the SIX Swiss Exchange’s website. Please note that information included in that website is not included or incorporated by reference in this document.

Index Composition and Selection Criteria

The SMI is comprised of the 20 highest ranked stocks traded on the SIX Swiss Exchange that have a free float of 20% or more and that are not investment companies. The equity universe is largely Swiss domestic companies; however, in some cases, foreign issuers with a primary listing on the SIX Swiss Exchange or investment companies that do not hold any shares of any other eligible company and that have a primary listing on the SIX Swiss Exchange may be included.

The ranking of each security is determined by a combination of the following criteria:

•average free-float market capitalization (compared to the capitalization of the entire SIX Swiss Exchange index family), and

•cumulative on order book turnover (compared to the total turnover of the SIX Swiss Exchange index family).

Each of these two factors is assigned a 50% weighting in ranking the stocks eligible for the SMI.

The SMI is reconstituted annually after prior notice of at least two months on the third Friday in September after the close of trading.

The reconstitution is based on data from the previous July 1 through June 30. Provisional interim selection (ranking) lists are also published following the end of the third, fourth and first financial quarters.

In order to reduce turnover, an index constituent will not be replaced unless it is ranked below 23 or, if it is ranked 21 or 22, if another share ranks 18 or higher. If a company has primary listings on several exchanges and less than 50% of that company’s total turnover is generated on the SIX Swiss Exchange, it will not be included in the SMI unless it ranks at least 18 or better on the selection list on the basis of its turnover alone (i.e., without considering its free float).

Maintenance of the Index

Constituent Changes. In the case of major market changes as a result of capital events such as mergers or new listings, the Management Committee of the SIX Swiss Exchange can decide at the request of the Index Commission that a security should be admitted to the SMI outside the annual review period as long as it clearly fulfills the criteria for inclusion. For the same reasons, a security can also be excluded if the requirements for admission to the SMI are no longer fulfilled. As a general rule, extraordinary acceptances into the SMI take place after a three-month period on a quarterly basis after the close of trading on the third Friday of March, June, September and December (for example, a security listed on or before the fifth trading day prior to the end of November cannot be included until the following March). An announced insolvency is deemed to be an extraordinary event and the security will be removed from the SMI with five trading days’ prior notice if the circumstances permit such notice.

Capped Weightings and Intra-Quarter Breaches. The weight of any index constituent that exceeds a weight of 18% within the index is reduced to that value at each quarterly index review by applying a capping factor to the calculation of such constituent’s free float market capitalization. A constituent’s number of shares and free float market capitalization are used to determine its capping factor. The excess weight (the difference of the original weight minus the capped weight) is distributed proportionally across the other index constituents. The constituents are also capped to 18% as soon as two index constituents exceed a weight of 20% (an “intra-quarter breach”). If an intra-quarter breach is observed after the close of the markets, a new calculation of the capping factors is executed immediately and communicated to the market in order to ensure that the maximum weight per constituent is capped at 18% for the opening on the next day. In order to achieve a capped weighting of the index without causing market distortion, a stepwise reduction is conducted based on the quarterly index reviews to ensure that no change in the weight (as a result of capping) from one review to the next exceeds 3%. The transition period is in effect until no component has a weight larger than 18%. In the case of an intra-quarter breach, the weights are limited to the last defined weights as of the prior review.

Number of Shares and Free Float. The securities included in the SMI are weighted according to their free float. This means that shares deemed to be in firm hands are subtracted from the total market capitalization of that company. The free float is calculated on the basis of outstanding shares. Issued and outstanding equity

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capital is, as a rule, the total amount of equity capital that has been fully subscribed and wholly or partially paid in and documented in the Commercial Register. Not counting as issued and outstanding equity capital are the approved capital and the conditional capital of a company. The free float is calculated on the basis of listed shares only. If a company offers several different categories of listed participation rights, each is treated separately for purposes of index calculation.

Shares held deemed to be in firm hands are shareholdings that have been acquired by one person or a group of persons in companies domiciled in Switzerland and which, upon exceeding 5%, have been reported to the SIX Swiss Exchange. Shares of persons and groups of persons who are subject to a shareholder agreement which is binding for more than 5% of the listed shares or who, according to publicly known facts, have a long-term interest in a company, are also deemed to be in firm hands.

For the calculation of the number of shares in firm hands, the SIX Swiss Exchange may also use other sources than the reports submitted to it. In particular, the SIX Swiss Exchange may use data gained from issuer surveys that it conducts itself.

In general, shares held by custodian nominees, trustee companies, investment funds, pension funds and investment companies are deemed free-floating regardless whether a report has been made to the SIX Swiss Exchange. The SIX Swiss Exchange classifies at its own discretion persons and groups of persons who, because of their area of activity or the absence of important information, cannot be clearly assigned.

The free-float rule applies only to bearer shares and registered shares. Capital issued in the form of participation certificates and bonus certificates is taken into full account in calculating the SMI because it does not confer voting rights.

The number of securities in the SMI and the free-float factors are adjusted after the close of trading on four adjustment dates per year, the third Friday of March, June, September and December. Such changes are pre-announced at least one month before the adjustment date, although the SIX Exchange reserves the right to take account of recent changes before the adjustment date in the actual adjustment, so the definite new securities are announced five trading days before the adjustment date.

In order to avoid frequent slight changes to the weighting and to maintain the stability of the SMI, any extraordinary change of the total number of outstanding securities or the free float will only result in an extraordinary adjustment if it exceeds 10% and 5% respectively and is in conjunction with a corporate action.

After a takeover, the SIX Swiss Exchange may, in exceptional cases, adjust the free float of a company upon publication of the end results after a five-day notification period or may exclude the security from the relevant index family. When an insolvency has been announced, an extraordinary adjustment will be made and the affected security will be removed from the SMI after five trading days’ notice.

The SIX Exchange reserves the right to make an extraordinary adjustment, in exceptional cases, without observing the notification period.

Calculation of the Index

The SIX Exchange calculates the SMI using the “Laspeyres formula,” with a weighted arithmetic mean of a defined number of securities issues. The formula for calculating the index value can be expressed as follows:

Index =

Free Float Market Capitalization of the index Divisor

The “free float market capitalization of the index” is equal to the sum of the product of the last-paid price, the number of shares, the free-float factor, the capping factor and, if a foreign stock is included, the current CHF exchange rate as of the time the index value is being calculated. The index value is calculated in real time and is updated whenever a trade is made in a component stock. Where any index component stock price is unavailable on any trading day, the SIX Swiss Exchange will use the last reported price for such component stock. Only prices from the SIX Swiss Exchange’s electronic order book are used in calculating the SMI.

Divisor Value and Adjustments

The divisor is a technical number used to calculate the SMI and is adjusted to reflect changes in market capitalization due to corporate events, and is adjusted by SIX Swiss Exchange to reflect corporate events, as described in the index rules.

License Agreement

The Notes are not in any way sponsored, endorsed, sold or promoted by the SIX Swiss Exchange and the SIX Swiss Exchange makes no warranty or representation whatsoever, express or implied, either as to the results to be obtained from the use of the SMI and/or the level at which the SMI stands at any particular time on any particular day. However, the SIX Swiss Exchange shall not be liable (whether through negligence or otherwise) to any person for any error in the Index and the SIX Swiss Exchange shall not be under any obligation to disclose such errors.

SIX^®, SIX Swiss Exchange^®, SPI^®, Swiss Performance Index (SPI)^®, SPI EXTRA^®, SMI^®, Swiss Market Index^® (SMI)^®, SMIM^®, SMI MID (SMIM)^®, SMI Expanded^®, SXI^®, SXI LIFE SCIENCES^®, SXI Bio+Medtech^®, SBI^®, SBI Swiss Bond Index^®, VSMI^®, SIX Immobilienfonds Index^® and SIX Quotematch^® are trademarks that have been registered in Switzerland and/or abroad by the SIX Swiss Exchange. Their use is subject to a license.

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Annex E—The S&P/ASX 200 Index

The AS51:

•was first launched in 1979 by the Australian Securities Exchange and was acquired and re-launched by S&P on April 3, 2000; and

•is sponsored, calculated, published and disseminated by S&P Dow Jones Indices LLC, a part of McGraw Hill Financial.

The AS51 includes 200 companies and covers approximately 80% of the Australian equity market by market capitalization. As discussed below, the AS51 is not limited solely to companies having their primary operations or headquarters in Australia or to companies having their primary listing on the Australian Securities Exchange (the “ASX”). All ordinary and preferred shares (if such preferred shares are not of a fixed income nature) listed on the ASX, including secondary listings, are eligible for the AS51. Hybrid stocks, bonds, warrants, preferred stock that provides a guaranteed fixed return and listed investment companies are not eligible for inclusion.

The AS51 is intended to provide exposure to the largest 200 eligible securities that are listed on the ASX by float-adjusted market capitalization.  Constituent companies for the AS51 are chosen based on market capitalization, public float and liquidity. All index-eligible securities that have their primary or secondary listing on the ASX are included in the initial selection of stocks from which the 200 index stocks may be selected.

The float-adjusted market capitalization of companies is determined based on the daily average market capitalization over the last six months. The security’s price history over the last six months, the latest available shares on issue and the investable weight factor (the “IWF”), are the factors relevant to the calculation of daily average market capitalization. The IWF is a variable that is primarily used to determine the available float of a security for ASX listed securities.

Information regarding the S&P/ASX 200 Index may be found on S&P’s website.  That information is updated from time to time on that website.  Please note that information included in that website is not included or incorporated by reference in this document.

Number of Shares

When considering the index eligibility of securities for inclusion or promotion into S&P/ASX indices, the number of index securities under consideration is based upon the latest available ASX quoted securities. For domestic securities (companies incorporated in Australia and traded on the ASX, companies incorporated overseas but exclusively listed on the ASX and companies incorporated overseas and traded on other markets but most of its trading activity is on the ASX), this figure is purely based upon the latest available data from the ASX.

Foreign-domiciled securities may quote the total number of securities on the ASX that is representative of their global equity capital; whereas other foreign-domiciled securities may quote securities on the ASX on a partial basis that represents their Australian equity capital. In order to overcome this inconsistency, S&P will quote the number of index securities that are represented by CHESS Depositary Interests (“CDIs”) for a foreign entity. When CDIs are not issued, S&P will use the total securities held on the Australian register (CHESS and, where supplied, the issuer sponsored register). This quoted number for a foreign entity is representative of the Australian equity capital, thereby allowing the AS51 to be increasingly reflective of the Australian market.

The number of CDIs or shares of a foreign entity quoted on the ASX can experience more volatility than is typically the case for ordinary shares on issue. Therefore, an average number on issue will be applied over a six-month period.

Where CDI information is not supplied to the ASX by the company or the company’s share register, estimates for Australian equity capital will be drawn from CHESS data and, ultimately, registry-sourced data.

IWF

The IWF represents the float-adjusted portion of a stock’s equity capital. Therefore any strategic holdings that are classified as either corporate, private or government holdings reduce the IWF which, in turn, results in a reduction in the float-adjusted market capital.

The IWF ranges between 0 and 1, is calculated as 1 – Sum of the % held by strategic shareholders who possess 5% or more of issued shares, and is an adjustment factor that accounts for the publicly available shares of a company. A company must have a minimum IWF of 0.3 to be eligible for index inclusion.

S&P identifies the following shareholders whose holdings are considered to be control blocks and are subject to float adjustment:

1.Government and government agencies;

2.Controlling and strategic shareholders/partners;

3.Any other entities or individuals which hold more than 5%, excluding insurance companies, securities companies and investment funds; and

Other restricted portions such as treasury stocks.

Liquidity Test

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Only stocks that are regularly traded are eligible for inclusion. Eligible stocks are considered for index inclusion based on their stock median liquidity (median daily value traded divided by its average float-adjusted market capitalization for the last six months relative to the market capitalization weighted average of the stock median liquidities of the 500 constituents of the All Ordinaries index, another member of the S&P/ASX index family).

Index Maintenance

S&P rebalances constituents quarterly to ensure adequate market capitalization and liquidity using the previous six months’ data to determine index eligibility. Quarterly review changes take effect the third Friday of March, June, September and December. Eligible stocks are considered for index inclusion based on their float-adjusted market capitalization rank relative to the stated quota of 200 securities. For example, a stock that is currently in the S&P/ASX 300 and is ranked at 175, based on float-adjusted market capitalization, within the universe of eligible securities may be considered for inclusion into the AS51, provided that liquidity hurdles are met.

In order to limit the level of index turnover, eligible securities will only be considered for index inclusion once another stock is excluded due to a sufficiently low rank and/or liquidity, based on the float-adjusted market capitalization. Potential index inclusions and exclusions need to satisfy buffer requirements in terms of the rank of the stock relative to a given index. The buffers are established to limit the level of index turnover that may take place at each quarterly rebalancing.

Between rebalancing dates, an index addition is generally made only if a vacancy is created by an index deletion. Index additions are made according to float-adjusted market capitalization and liquidity. An initial public offering is added to the AS51 only when an appropriate vacancy occurs and is subject to proven liquidity for at least two months. An exception may be made for extraordinary large offerings where sizeable trading volumes justify index inclusion.

Deletions can occur between index rebalancing dates due to acquisitions, mergers and spin-offs or due to suspension or bankruptcies. The decision to remove a stock from the AS51 will be made once there is sufficient evidence that the transaction will be completed. Stocks that are removed due to mergers and acquisitions are removed from the AS51 at the cash offer price for cash-only offers. Otherwise, the best available price in the market is used.

Share numbers for all index constituents are updated quarterly and are rounded to the nearest thousand. The update to the number of issued shares will be considered if the change is at least 5% of the float adjusted shares or $100 million in value.

Share updates for foreign-domiciled securities will take place annually at the March rebalancing. The update to the number of index shares will only take place when the six-month average of CDIs or the Total Securities held in the Australian branch of issuer sponsored register (where supplied) and in CHESS, as of the March rebalancing, differs from the current index shares by either 5% or a market-cap dollar amount greater than A$100 million. Where CDI information is not supplied to the ASX by the company or the company’s share register, estimates for Australian equity capital will be drawn from CHESS data and, ultimately, registry-sourced data.

Intra-quarter share changes are implemented at the effective date or as soon as reliable information is available; however, they will only take place in the following circumstances:

•changes in a company’s float-adjusted shares of 5% or more due to market-wide shares issuance;

•rights issues, bonus issues and other major corporate actions; and

•share issues resulting from index companies merging and major off-market buy-backs.

Share changes due to mergers or acquisitions are implemented when the transaction occurs, even if both of the companies are not in the same index and regardless of the size of the change.

IWFs are reviewed annually as part of the September quarterly review. However, any event that alters the float of a security in excess of 5% will be implemented as soon as practicable by an adjustment to the IWF.

The function of the IWF is also to manage the index weight of foreign-domiciled securities that quote shares on the basis of CDIs. Due to the volatility that is displayed by CDIs, unusually large changes in the number of CDIs on issue could result. Where this is the case, the IWF may be used to limit the effect of unusually large changes in the average number of CDIs (and, thereby, limit the potential to manipulate this figure). Where the Australian Index Committee sees fit to apply the IWF in this manner, the rationale for the decision will be announced to the market. This will be reviewed annually at the March-quarter index rebalancing date.

Calculation of the AS51

The AS51 is calculated using a base-weighted aggregate methodology. The value of the AS51 on any day for which an index value is published is determined by a fraction, the numerator of which is the aggregate of the price of each stock in the AS51 times the number of shares of such stock included in the AS51 times that stock’s IWF, and the denominator of which is the divisor, which is described more fully below.

In order to prevent the value of the AS51 from changing due to corporate actions, all corporate actions may require S&P to make an index or divisor adjustment, as described in S&P’s rules. This helps maintain the value of the AS51 and ensures that the movement of the AS51 does not reflect the corporate actions of the individual companies that comprise the AS51.

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In situations where an exchange is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, S&P will calculate the closing price of the indices based on (1) the closing prices published by the exchange or (2) if no closing price is available, the last regular trade reported for each security before the exchange closed. If the exchange fails to open due to unforeseen circumstances, S&P treats this closure as a standard market holiday. The AS51 will use the prior day’s closing prices and shifts any corporate actions to the following business day. If all exchanges fail to open or in other extreme circumstances, S&P may determine not to publish the AS51 for that day.

S&P reserves the right to recalculate the AS51 under certain limited circumstances.

License Agreement

S&P^® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”). These trademarks have been licensed for use by S&P Dow Jones Indices LLC. “Standard & Poor’s^®,” “S&P/ASX 200^®” and “S&P^®” are trademarks of S&P. These trademarks have been sublicensed for certain purposes by our subsidiary, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”). The S&P/ASX 200 Index is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by MLPF&S.

The Notes are not sponsored, endorsed, sold or promoted by Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”). Neither S&P nor the Australia Stock Exchange make any representation or warranty, express or implied, to the owners of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of the S&P/ASX 200 Index to track general stock market performance. S&P’s and the Australia Stock Exchange’s only relationship to MLPF&S is the licensing of certain trademarks and trade names of S&P and the Australia Stock Exchange and of the S&P/ASX 200 Index, which index is determined, composed and calculated by S&P without regard to us, MLPF&S or the Notes. S&P and the Australia Stock Exchange have no obligation to take our needs or the needs of MLPF&S or the owners of the Notes into consideration in determining, composing or calculating the S&P/ASX 200 Index. S&P and the Australia Stock Exchange are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the Notes are to be converted into cash. S&P and the Australia Stock Exchange have no obligation or liability in connection with the administration, marketing or trading of the Notes.

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