$18,970,000 Contingent Income Auto-Callable Yield Notes Linked to the Least Performing of the SPDR S&P Regional Banking ETF, the SPDR S&P Biotech ETF and the Technology Select Sector SPDR Fund due March 02, 2023, priced on February 26, 2021, were issued by BofA Finance LLC. The pricing supplement for this note (CUSIP: 09709UCX4) can be found here.

The notes had a $1,000 face value and paid a quarterly coupon of $37.50, so long as the notes had not been called and SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF all closed above 68% of their February 26, 2021 closing prices on a determination date. If SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF closed below 68% of their February 26, 2021 closing prices on a determination date, the notes did not pay a coupon.

If not previously called, at maturity, the notes returned $1,000 in principal if SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF all closed on the final determination date on February 27, 2023 and above 68% of their February 26, 2021 closing prices. If on February 27, 2023 SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF closed below 68% of their February 26, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of SPDR S&P Biotech ETF, Technology Select Sector SPDR Fund and SPDR S&P Regional Banking ETF February 27, 2023 closing prices to their February 26, 2021 closing prices.

The notes have matured. They paid two coupons totaling $112.50 and $554.93 repayment per $1,000 note. Investors thus suffered capital losses of $445.07 and net losses of $332.57.^† In the aggregate, investors in this note suffered $8,442,932 in capital losses and $6,308,807 in net losses. See Table 1 and Figure 1.

---

† SLCG estimated these losses based on publicly available information. The issuer ultimately determines the amounts paid which may differ from our estimates. Our reference to capital loss and net loss does not imply SLCG's view of how these losses are treated for tax purposes.

---

If you have questions about this post, please contact SLCG for an initial consultation or email us at info@SLCG.com.

SLCG Economic Consulting, LLC

Established in 2000, SLCG Economic Consulting ("SLCG") specializes in providing finance, economics, and investment management consulting, as well as expert witness services to law firms, banks, brokerage firms, and individuals involved in complex litigation. Our team comprises predominantly PhD and MA-level professionals with diverse backgrounds in academia, industry, and government, many of whom have testified in state and federal courts as well as various arbitration forums.

SLCG is a wholly owned subsidiary of McCann Yan Holdings, Inc., a Virginia incorporated company based in Northern Virginia.