Bank of America plans 90% protected notes on bullish dollar vs. euro

By Susanna Moon

Chicago, Jan. 4 - Bank of America Corp. plans to price zero-coupon 90% principal-protected conditional participation notes due January 2012 based on the dollar/euro exchange rate measure, according to an FWP filing with the Securities and Exchange Commission.

The dollar/euro exchange rate measure tracks a short position in the euro relative to the dollar.

If the exchange rate measure finishes above the threshold level - 116% to 120% of the initial level - the payout at maturity will be par of $10 plus 4%. The exact threshold level will be set at pricing.

If the measure finishes above the starting value and at or below the threshold level, the payout will be par plus 125% of the gain.

If the measure finishes below the starting value, the payout will be par minus the decline, subject to a floor of 90% of par.

The notes will price and settle in January or February.

Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC are the underwriters.

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