BofA sets starting value for notes on Investable Volatility index

By Jennifer Chiou

New York, Dec. 30 - Bank of America Corp. recorded an initial value of 194.78 for its 0% Strategic Return Notes due Dec. 24, 2015 linked to the Investable Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.

The issuer priced $9.02 million of the notes (Cusip: 06052R443) on Dec. 21.

The starting value is equal to the average of index's closing levels on the five days beginning Dec. 21. The closing level was 192.51 on Dec. 21, 191.14 on Dec. 22, 196.38 on Dec. 23, 195.28 on Dec. 27 and 198.6 on Dec. 28.

The index provides a measure of market volatility in the equity markets and is designed to measure the return of an investment in the forward implied volatility of the S&P 500 index for a three-month period with a mid-point about five months in the future.

Beginning in January 2012, the notes will be exchangeable during the first 15 days of January, April, July and October of each year.

For each $10.00 principal amount, the payout at maturity or upon exchange will be $9.80 plus the index return. The final index level will be reduced by an index adjustment factor of 0.75% per year, which accrues daily.

Merrill Lynch, Pierce, Fenner & Smith Inc. is the underwriter.

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