Bank of America plans two-year digital return notes on 30-year CMS

By Susanna Moon

Chicago, Jan. 4 - Bank of America plans to price 0% digital return notes due January 2014 linked to the 30-year Constant Maturity Swap Rate, according to an FWP filing with the Securities and Exchange Commission.

If the 30-year CMS rate finishes at 101% of the initial level, the payout at maturity will be par plus the digital return of 20% to 25%. The exact percentage will be set at pricing.

Investors will receive par if the rate falls by up to 1.2%.

If the 30-year CMS rate falls by more than 1.2%, the payout will be $850 per $1,000 principal amount.

Bank of America Merrill Lynch is the underwriter.

The notes will price and settle in January.

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