By Marisa Wong
Madison, Wis., March 12 - Bank of America Corp. priced $2.92 million of 0% digital return notes due March 15, 2015 linked to the 30-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the final 30-year CMS rate is greater than the initial 30-year CMS rate plus 100 basis points, the payout at maturity will be par plus 26.75%.
If the final 30-year CMS rate is less than the initial 30-year CMS rate, the payout will be $850 per $1,000 principal amount.
In all other cases, the payout will be par.
Bank of America Merrill Lynch is the underwriter.
Issuer: | Bank of America Corp.
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Issue: | Digital return notes
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Underlying: | 30-year Constant Maturity Swap rate
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Amount: | $2.92 million
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Maturity: | March 15, 2015
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final 30-year CMS rate is more than 3.855%, par plus 26.75%; if final 30-year CMS rate is less than 2.855%, 85% of par; otherwise, par
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Initial CMS rate: | 2.855%
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Pricing date: | March 8
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Settlement date: | March 15
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Underwriter: | Bank of America Merrill Lynch
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Fees: | 1.75%
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Cusip: | 06048WKW9
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