BofA Finance LLC
Contingent Income Buffered Auto-Callable Securities due June 25, 2024
All Payments on the Securities Based on the Performance of the SPDR® S&P 500® ETF Trust
Principal at Risk Securities
Structuring the securities: |
The securities are our debt securities, the return on which is
linked to the performance of the underlying shares. The related guarantee is BAC’s obligation. As is the case for all of our and
BAC’s respective debt securities, including our market-linked notes, the economic terms of the securities reflect our and BAC’s
actual or perceived creditworthiness at the time of pricing. In addition, because market-linked notes result in increased operational,
funding and liability management costs to us and BAC, BAC typically borrows the funds under these types of notes at a rate, which we refer
to in this pricing supplement as BAC’s internal funding rate, that is more favorable to BAC than the rate that it might pay for
a conventional fixed or floating rate debt security. This generally relatively lower internal funding rate, which is reflected in the
economic terms of the securities, along with the fees and charges associated with market-linked notes, resulted in the initial estimated
value of the securities on the pricing date being less than their price to public.
The initial estimated value of the securities on the pricing date
is set forth on the cover page of this pricing supplement.
In order to meet our payment obligations on the securities, at
the time we issue the securities, we may choose to enter into certain hedging arrangements (which may include call options, put options
or other derivatives) with BofAS or one of our other affiliates. The terms of these hedging arrangements are determined based upon terms
provided by BofAS and its affiliates, and take into account a number of factors, including our and BAC’s creditworthiness, interest
rate movements, the volatility of the underlying shares, the tenor of the securities and the hedging arrangements. The economic terms
of the securities and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements will include
hedging related charges, reflecting the costs associated with, and our affiliates’ profit earned from, these hedging arrangements.
Since hedging entails risk and may be influenced by unpredictable market forces, actual profits or losses from these hedging transactions
may be more or less than any expected amounts.
For further information, see “Risk Factors” beginning
on page 8 above and “Supplemental Use of Proceeds” on page PS-20 of the accompanying product supplement. |
Supplement to the plan of distribution; role of BofAS and conflicts of interest: |
BofAS, a broker-dealer affiliate of ours, is a member of the Financial
Industry Regulatory Authority, Inc. (“FINRA”) and will participate as agent in the distribution of the securities. Accordingly,
the offering of the securities will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in this offering to any of
its discretionary accounts without the prior written approval of the account holder.
We expect to deliver the securities against payment therefor in
New York, New York on a date that is greater than two business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange
Act of 1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, if the initial settlement of the securities occurs more than two business days from the pricing
date, purchasers who wish to trade the securities more than two business days prior to the original issue date will be required to specify
alternative settlement arrangements to prevent a failed settlement.
Under our distribution agreement with BofAS, BofAS will purchase
the securities from us as principal at the public offering price indicated on the cover of this pricing supplement, less the indicated
agent's commission and fees, if any. BofAS will sell the securities to other broker-dealers that will participate in the offering and
that are not affiliated with us, at an agreed discount to the principal amount. Each of those broker-dealers may sell the securities to
one or more additional broker-dealers. BofAS has informed us that these discounts may vary from dealer to dealer and that not all dealers
will purchase or repurchase the securities at the same discount. Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”)
and its financial advisors will collectively receive from the agent, BofAS, a fixed sales commission for each security they sell, and
Morgan Stanley Wealth Management will receive a structuring fee for each security, in each case as specified on the cover page of this
document. The costs included in the original issue price of the securities will include a fee paid by BofAS to LFT Securities, LLC, an
entity in which an affiliate of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform
services with respect to this offering.
BofAS and any of our other broker-dealer affiliates may use this
pricing supplement and the accompanying product supplement, prospectus supplement and prospectus for offers and sales in secondary market
transactions and market-making transactions in the securities. However, they are not obligated to engage in such secondary market transactions
and/or market-making transactions. These broker-dealer affiliates may act as principal or agent in these transactions, and any such sales
will be made at prices related to prevailing market conditions at the time of the sale.
At BofAS’s discretion, for a short, undetermined initial
period after the issuance of the securities, BofAS may offer to buy the securities in the secondary market at a price that may exceed
the initial estimated value of the securities. Any price offered by BofAS for the securities will be based on then-prevailing market conditions
and other considerations, including the performance of the underlying shares and the remaining term of the securities. However, none of
us, the guarantor, BofAS or any of our other affiliates is obligated to purchase your securities at any price or at any time, and we cannot
assure you that any party will purchase your securities at a price that equals or exceeds the initial estimated value of the securities.
Any price that BofAS may pay to repurchase the securities will
depend upon then prevailing market conditions, the creditworthiness of us and the guarantor, and transaction costs. At certain times,
this price may be higher than or lower than the initial estimated value of the securities.
Sales Outside of the United States
The securities have not been approved for public sale in any jurisdiction
outside of the United States. There has been no registration or filing as to the securities with any regulatory, securities, banking,
or local authority outside of the United States and no action has been taken by BofA Finance, BAC, BofAS or any other affiliate of BAC,
to offer the securities in any jurisdiction other than the United States. As such, these |
BofA Finance LLC
Contingent Income Buffered Auto-Callable Securities due June 25, 2024
All Payments on the Securities Based on the Performance of the SPDR® S&P 500® ETF Trust
Principal at Risk Securities
|
securities are made available to investors outside
of the United States only in jurisdictions where it is lawful to make such offer or sale and only under circumstances that will result
in compliance with applicable laws and regulations, including private placement requirements.
Further, no offer or sale of the securities is being made to residents
of:
·
Australia
·
Barbados
·
Belgium
·
Crimea
·
Cuba
·
Curacao Sint Maarten
·
Gibraltar
·
Indonesia
·
Iran
·
Italy
·
Kazakhstan
·
Malaysia
·
New Zealand
·
North Korea
·
Norway
·
Russia
·
Syria
You are urged to carefully review the selling restrictions that
may be applicable to your jurisdiction beginning on page S-56 of the accompanying prospectus supplement.
European Economic Area and United Kingdom
None of this pricing supplement, the accompanying product supplement,
the accompanying prospectus or the accompanying prospectus supplement is a prospectus for the purposes of the Prospectus Regulation (as
defined below). This pricing supplement, the accompanying product supplement, the accompanying prospectus and the accompanying prospectus
supplement have been prepared on the basis that any offer of securities in any Member State of the European Economic Area (the “EEA”)
or in the United Kingdom (each, a “Relevant State”) will only be made to a legal entity which is a qualified investor under
the Prospectus Regulation (“Qualified Investors”). Accordingly any person making or intending to make an offer in that Relevant
State of securities which are the subject of the offering contemplated in this pricing supplement, the accompanying product supplement,
the accompanying prospectus and the accompanying prospectus supplement may only do so with respect to Qualified Investors. Neither BofA
Finance nor BAC has authorized, nor does it authorize, the making of any offer of securities other than to Qualified Investors. The expression
“Prospectus Regulation” means Regulation (EU) 2017/1129.
PROHIBITION OF SALES TO EEA AND UNITED KINGDOM RETAIL INVESTORS
– The securities are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise
made available to any retail investor in the EEA or in the United Kingdom. For these purposes: (a) a retail investor means a person who
is one (or more) of: (i) a retail client as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as amended (“MiFID II”);
or (ii) a customer within the meaning of Directive (EU) 2016/97 (the Insurance Distribution Directive) where that customer would not qualify
as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor as defined in the Prospectus
Regulation; and (b) the expression “offer” includes the communication in any form and by any means of sufficient information
on the terms of the offer and the securities to be offered so as to enable an investor to decide to purchase or subscribe for the securities.
Consequently no key information document required by Regulation (EU) No 1286/2014, as amended (the “PRIIPs Regulation”) for
offering or selling the securities or otherwise making them available to retail investors in the EEA or in the United Kingdom has been
prepared and therefore offering or selling the securities or otherwise making them available to any retail investor in the EEA or in the
United Kingdom may be unlawful under the PRIIPs Regulation.
United Kingdom
The communication of this pricing supplement, the accompanying
product supplement, the accompanying prospectus supplement, the accompanying prospectus and any other document or materials relating to
the issue of the securities offered hereby is not being made, and such documents and/or materials have not been approved, by an authorized
person for the purposes of section 21 of the United Kingdom’s Financial Services and Markets Act 2000, as amended (the “FSMA”).
Accordingly, such documents and/or materials are not being distributed to, and must not be passed on to, the general public in the United
Kingdom. The communication of such documents and/or materials as a financial promotion is only being made to those persons in the United
Kingdom who have professional experience in matters relating to investments and who fall within the definition of investment professionals
(as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as amended (the “Financial
Promotion Order”)), or who fall within Article 49(2)(a) to (d) of the Financial Promotion Order, or who are any other persons to
whom it may otherwise lawfully be made under the Financial Promotion Order (all such persons together being referred to as “relevant
persons”). In the United Kingdom, the securities offered hereby are only available to, and any investment or investment activity
to which this pricing supplement, the accompanying product supplement, the accompanying prospectus supplement and the accompanying prospectus
relates will be engaged in only with, relevant persons. Any person in the United Kingdom that is not a relevant person should not act
or rely on this pricing supplement, the accompanying product supplement, the accompanying |
BofA Finance LLC
Contingent Income Buffered Auto-Callable Securities due June 25, 2024
All Payments on the Securities Based on the Performance of the SPDR® S&P 500® ETF Trust
Principal at Risk Securities
|
prospectus supplement or the accompanying prospectus
or any of their contents.
Any invitation or inducement to engage in investment activity
(within the meaning of Section 21 of the FSMA) in connection with the issue or sale of the securities may only be communicated or caused
to be communicated in circumstances in which Section 21(1) of the FSMA does not apply to BofA Finance, as issuer, or BAC, as guarantor.
All applicable provisions of the FSMA must be complied with in
respect to anything done by any person in relation to the securities in, from or otherwise involving the United Kingdom. |
Where you can find more information: |
This pricing supplement and the accompanying product supplement,
prospectus supplement and prospectus have been filed as part of a registration statement with the SEC, which may, without cost, be accessed
on the SEC website at www.sec.gov or obtained from BofAS by calling 1-800-294-1322. Before you invest, you should read this pricing supplement
and the accompanying product supplement, prospectus supplement and prospectus for information about us, BAC and this offering. Any prior
or contemporaneous oral statements and any other written materials you may have received are superseded by this pricing supplement and
the accompanying product supplement, prospectus supplement and prospectus. Certain terms used but not defined in this pricing supplement
have the meanings set forth in the accompanying product supplement or prospectus supplement.
The terms and risks of the securities are contained in this pricing
supplement and in the following related product supplement, prospectus supplement and prospectus, which can be accessed at the following
links:
●
Product Supplement EQUITY-1 dated December 30, 2022:
https://www.sec.gov/Archives/edgar/data/1682472/000119312522315473/d429684d424b2.htm
●
Series A MTN prospectus supplement dated
December 30, 2022 and prospectus dated December 30, 2022: https://www.sec.gov/Archives/edgar/data/1682472/000119312522315195/d409418d424b3.htm
Please note that, for purposes of this pricing supplement, references
in the accompanying product supplement EQUITY-1 to “Observation Date” shall also be read as references to “redemption
determination date.”
Please note that, for purposes of this pricing supplement, references
in the accompanying product supplement EQUITY-1 to “Underlying”, “Closing Market Price”, “ETF” and
“Price Multiplier” shall be deemed to refer to “underlying shares”, “closing price”, “underlying
shares” and “adjustment factor” respectively. |
Validity of the securities: |
In the opinion of McGuireWoods LLP, as counsel to BofA Finance, as issuer, and BAC, as guarantor, when the trustee has made the appropriate entries or notations on Schedule 1 to the master global note that represents the securities (the “Master Note”) identifying the securities offered hereby as supplemental obligations thereunder in accordance with the instructions of BofA Finance, and the securities have been delivered against payment therefor as contemplated in this pricing supplement and the related prospectus, prospectus supplement and product supplement, all in accordance with the provisions of the indenture governing the securities and the related guarantee, such securities will be the legal, valid and binding obligations of BofA Finance, and the related guarantee will be the legal, valid and binding obligation of BAC, subject, in each case, to the effects of applicable bankruptcy, insolvency (including laws relating to preferences, fraudulent transfers and equitable subordination), reorganization, moratorium and other similar laws affecting creditors’ rights generally, and to general principles of equity. This opinion is given as of the date of this pricing supplement and is limited to the Delaware General Corporation Law and the Delaware Limited Liability Company Act (including the statutory provisions, all applicable provisions of the Delaware Constitution and reported judicial decisions interpreting either of the foregoing) and the laws of the State of New York as in effect on the date hereof. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture governing the securities and due authentication of the Master Note, the validity, binding nature and enforceability of the indenture governing the securities and the related guarantee with respect to the trustee, the legal capacity of individuals, the genuineness of signatures, the authenticity of all documents submitted to McGuireWoods LLP as originals, the conformity to original documents of all documents submitted to McGuireWoods LLP as copies thereof, the authenticity of the originals of such copies and certain factual matters, all as stated in the opinion letter of McGuireWoods LLP dated December 8, 2022, which has been filed as an exhibit to the Registration Statement (File Nos. 333-268718 and 333-268718-01) of BAC and BofA Finance, filed with the SEC on December 8, 2022. |
BofA Finance LLC
Contingent Income Buffered Auto-Callable Securities due June 25, 2024
All Payments on the Securities Based on the Performance of the SPDR® S&P 500® ETF Trust
Principal at Risk Securities
Annex A— The S&P 500® Index
The SPX includes a representative sample of 500
companies in leading industries of the U.S. economy. The SPX is intended to provide an indication of the pattern of common stock price
movement. The calculation of the level of the SPX is based on the relative value of the aggregate market value of the common stocks of
500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during
the base period of the years 1941 through 1943.
The SPX includes companies from eleven main groups:
Communication Services; Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology;
Real Estate; Materials; and Utilities. S&P Dow Jones Indices LLC (“SPDJI”), the sponsor of the SPX, may from time to time,
in its sole discretion, add companies to, or delete companies from, the SPX to achieve the objectives stated above.
Company additions to the SPX must have an unadjusted
company market capitalization of $14.6 billion or more (an increase from the previous requirement of an unadjusted company market capitalization
of $13.1 billion or more).
SPDJI calculates the SPX by reference to the prices
of the constituent stocks of the SPX without taking account of the value of dividends paid on those stocks. As a result, the return on
the Notes will not reflect the return you would realize if you actually owned the SPX constituent stocks and received the dividends paid
on those stocks.
Computation of the SPX
While SPDJI currently employs the following methodology
to calculate the SPX, no assurance can be given that SPDJI will not modify or change this methodology in a manner that may affect payments
on the Notes.
Historically, the market value of any component
stock of the SPX was calculated as the product of the market price per share and the number of then outstanding shares of such component
stock. In March 2005, SPDJI began shifting the SPX halfway from a market capitalization weighted formula to a float-adjusted formula,
before moving the SPX to full float adjustment on September 16, 2005. SPDJI’s criteria for selecting stocks for the SPX did not
change with the shift to float adjustment. However, the adjustment affects each company’s weight in the SPX.
Under float adjustment, the share counts used
in calculating the SPX reflect only those shares that are available to investors, not all of a company’s outstanding shares. Float
adjustment excludes shares that are closely held by control groups, other publicly traded companies or government agencies.
In September 2012, all shareholdings representing
more than 5% of a stock’s outstanding shares, other than holdings by “block owners,” were removed from the float for
purposes of calculating the SPX. Generally, these “control holders” will include officers and directors, private equity, venture
capital and special equity firms, other publicly traded companies that hold shares for control, strategic partners, holders of restricted
shares, ESOPs, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock, government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater stake in
a company as reported in regulatory filings. However, holdings by block owners, such as depositary banks, pension funds, mutual funds
and ETF providers, 401(k) plans of the company, government retirement/pension funds, investment funds of insurance companies, asset managers
and investment funds, independent foundations and savings and investment plans, will ordinarily be considered part of the float.
Treasury stock, stock options, restricted shares,
equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held in a trust
to allow investors in countries outside the country of domicile, such as depositary shares and Canadian exchangeable shares, are normally
part of the float unless those shares form a control block. If a company has multiple classes of stock outstanding, shares in an unlisted
or non-traded class are treated as a control block.
For each stock, an investable weight factor (“IWF”)
is calculated by dividing the available float shares by the total shares outstanding. Available float shares are defined as the total
shares outstanding less shares held by control holders. This calculation is subject to a 5% minimum threshold for control blocks. For
example, if a company’s officers and directors hold 3% of the company’s shares, and no other control group holds 5% of the
company’s shares, SPDJI would assign that company an IWF of 1.00, as no control group meets the 5% threshold. However, if a company’s
officers and directors hold 3% of the company’s shares and another control group holds 20% of the company’s shares, SPDJI
would assign an IWF of 0.77, reflecting the fact that 23% of the company’s outstanding shares are considered to be held for control.
As of July 31, 2017, companies with multiple share class lines are no longer eligible for inclusion in the SPX. Constituents of the SPX
prior to July 31, 2017 with multiple share class lines will be grandfathered in and continue to be included in the SPX. If a constituent
company of the SPX reorganizes into a multiple share class line structure, that company will remain in the SPX at the discretion of the
S&P Index Committee in order to minimize turnover.
The SPX is calculated using a base-weighted aggregate
methodology. The level of the SPX reflects the total market value of all component stocks relative to the base period of the years 1941
through 1943. An indexed number is used to represent the results of this calculation in order to make the level easier to work with and
track over time. The actual total market value of the component stocks during the base period of the years 1941 through 1943 has been
set to an indexed level of 10. This is often indicated by the notation 1941- 43 = 10. In practice, the daily calculation of the SPX is
computed by dividing the total market value of the component stocks by the “index divisor.” By itself, the index divisor is
an arbitrary number. However, in the context of the calculation of the SPX, it serves as a link to the original base period level of the
SPX. The index divisor keeps the SPX comparable over time and is the manipulation point for all adjustments to the SPX, which is index
maintenance.
Index Maintenance
Index maintenance includes monitoring and completing
the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to
company restructuring or spinoffs. Some corporate actions, such as stock splits and stock dividends, require changes in the common shares
outstanding and the stock prices of the companies in the SPX, and do not require index divisor adjustments.
BofA Finance LLC
Contingent Income Buffered Auto-Callable Securities due June 25, 2024
All Payments on the Securities Based on the Performance of the SPDR® S&P 500® ETF Trust
Principal at Risk Securities
To prevent the level of the SPX from changing
due to corporate actions, corporate actions which affect the total market value of the SPX require an index divisor adjustment. By adjusting
the index divisor for the change in market value, the level of the SPX remains constant and does not reflect the corporate actions of
individual companies in the SPX. Index divisor adjustments are made after the close of trading and after the calculation of the SPX closing
level.
Changes in a company’s shares outstanding
of 5.00% or more due to mergers, acquisitions, public offerings, tender offers, Dutch auctions, or exchange offers are made as soon as
reasonably possible. Share changes due to mergers or acquisitions of publicly held companies that trade on a major exchange are implemented
when the transaction occurs, even if both of the companies are not in the same headline index, and regardless of the size of the change.
All other changes of 5.00% or more (due to, for example, company stock repurchases, private placements, redemptions, exercise of options,
warrants, conversion of preferred stock, notes, debt, equity participation units, at-the-market offerings, or other recapitalizations)
are made weekly and are announced on Fridays for implementation after the close of trading on the following Friday. Changes of less than
5.00% are accumulated and made quarterly on the third Friday of March, June, September, and December, and are usually announced two to
five days prior.
If a change in a company’s shares outstanding
of 5.00% or more causes a company’s IWF to change by five percentage points or more, the IWF is updated at the same time as the
share change. IWF changes resulting from partial tender offers are considered on a case by case basis.
License Agreement
S&P® is a registered trademark
of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones® is a registered trademark
of Dow Jones Trademark Holdings LLC (“Dow Jones”). These trademarks have been licensed for use by S&P Dow Jones Indices
LLC. “Standard & Poor’s®,” “S&P 500®” and “S&P®”
are trademarks of S&P. These trademarks have been sublicensed for certain purposes by our affiliate, Merrill Lynch, Pierce, Fenner
& Smith Incorporated. The SPX is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by
Merrill Lynch, Pierce, Fenner & Smith Incorporated.
The Notes are not sponsored, endorsed, sold
or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P or any of their respective affiliates (collectively, “S&P Dow
Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the holders of the Notes or
any member of the public regarding the advisability of investing in securities generally or in the Notes particularly or the ability of
the SPX to track general market performance. S&P Dow Jones Indices’ only relationship to Merrill Lynch, Pierce, Fenner &
Smith Incorporated with respect to the SPX is the licensing of the SPX and certain trademarks, service marks and/or trade names of S&P
Dow Jones Indices and/or its third party licensors. The SPX is determined, composed and calculated by S&P Dow Jones Indices without
regard to us, Merrill Lynch, Pierce, Fenner & Smith Incorporated, or the Notes. S&P Dow Jones Indices have no obligation to take
our needs, BAC’s needs or the needs of Merrill Lynch, Pierce, Fenner & Smith Incorporated or holders of the Notes into consideration
in determining, composing or calculating the SPX. S&P Dow Jones Indices are not responsible for and have not participated in the determination
of the prices and amount of the Notes or the timing of the issuance or sale of the Notes or in the determination or calculation of the
equation by which the Notes are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with
the administration, marketing or trading of the Notes. There is no assurance that investment products based on the SPX will accurately
track index performance or provide positive investment returns. S&P Dow Jones Indices LLC and its subsidiaries are not investment
advisors. Inclusion of a security or futures contract within an index is not a recommendation by S&P Dow Jones Indices to buy, sell,
or hold such security or futures contract, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc.
and its affiliates may independently issue and/or sponsor financial products unrelated to the Notes currently being issued by us, but
which may be similar to and competitive with the Notes. In addition, CME Group Inc. and its affiliates may trade financial products which
are linked to the performance of the SPX. It is possible that this trading activity will affect the value of the Notes.
S&P DOW JONES INDICES DO NOT GUARANTEE THE
ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE SPX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT
LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL
NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR
IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS
TO BE OBTAINED BY US, BAC, BOFAS, MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR
ENTITY FROM THE USE OF THE SPX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER
SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT
LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES,
WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN
S&P DOW JONES INDICES AND MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.