By Susanna Moon
Chicago, July 28 – Bank of America Corp. priced $12.27 million of 0% step-up notes due July 29, 2016 linked to a basket of equally weighted emerging market currencies relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying currencies are Chinese renminbi, the Indian rupee and the Russian ruble.
If the basket finishes at or above the step-up value – 121.25% of the initial level – the payout at maturity will be par plus the basket return.
If the basket finishes below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 21.25%.
Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.
BofA Merrill Lynch is the underwriter.
| Issuer: | Bank of America Corp.
|
| Issue: | Currency-linked step-up notes
|
| Underlying basket: | Chinese renminbi, the Indian rupee and the Russian ruble relative to the euro
|
| Amount: | $12,265,410
|
| Maturity: | July 29, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If basket finishes at or above step level, par plus return; if basket gains by up to step-up level, par plus step-up return of 21.25%; par if basket falls by up to 10%; exposure to losses beyond 10%
|
| Initial level: | 8.2941 for the Chinese renminbi, 80.8167 for the Indian rupee and 47.1645 for the Russian ruble
|
| Step level: | 121.25% of initial level
|
| Threshold level: | 90% of initial levels
|
| Pricing date: | July 24
|
| Settlement date: | July 31
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 1.75%
|
| Cusip: | 06053M385
|
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