Bank of America plans digital return notes linked to 30-year CMS rate

By Angela McDaniels

Tacoma, Wash., Jan. 13 - Bank of America Corp. plans to price 0% digital return notes due February 2014 linked to the 30-year Constant Maturity Swap rate, according to an FWP filing with the Securities and Exchange Commission.

If the final 30-year CMS rate is greater than the initial rate plus 1%, the payout at maturity will be par plus a digital return of 16% to 21%. The exact digital return will be set at pricing.

If the final 30-year CMS rate is less than the initial rate minus 1%, the payout will be $850 per note.

In all other cases, the payout will be par.

The notes are expected to price in January and settle in February.

Bank of America Merrill Lynch is the underwriter.

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