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

By Susanna Moon

Chicago, Jan. 27 - 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 30-year CMS rate plus 1%, the payout at maturity will be par plus the digital return of 16% to 21%. The exact digital return be set at pricing.

Investors will receive par if the rate falls by up to 50 basis points.

If the 30-year CMS rate falls by more than 50 bps, 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 February.

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