Bank of America plans Strategic Return Notes on Investable Volatility

By Toni Weeks

San Diego, May 27 - Bank of America Corp. plans to price 0% Strategic Return Notes due June 2016 linked to the Investable Volatility index, according to an FWP filing with the Securities and Exchange Commission.

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 midpoint about five months in the future.

Beginning in July 2012, the notes will be exchangeable on a quarterly basis 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.

The initial and final levels of the index will be averaged over five trading days.

The notes are expected to price in June and settle in July.

Bank of America Merrill Lynch is the underwriter.

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