Bank of America to price lock-in notes linked to S&P 500 index

By Jennifer Chiou

New York, Nov. 23 - Bank of America plans to price 0% lock-in notes due December 2014 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

The notes provide for a minimum return at maturity if the index increases by a certain amount on either of two observation dates, constituting a lock-in event. The lock-in amount will be 10% if the index increases 10% to 19.99%, 20% if it increases 20% to 29.99% and 30% if it increases 30% or more on either observation date, which are set to occur in January of 2013 and 2014.

If a lock-in event has occurred, the payout at maturity will be par plus the greater of the index return and the highest lock-in amount.

If a lock-in event has not occurred, investors will share in any index gain and will receive par for losses up to 10% to 20%. The exact threshold will be set at pricing.

If the index finishes below the threshold value, investors will share in those losses.

The notes will price and settle in January.

Bank of America Merrill Lynch is the agent.

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