Bank of America plans step-up notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Nov. 1 - Bank of America Corp. plans to price 0% market-linked step-up notes due November 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Russell 2000 index and the S&P 500 index, each with a 50% weight.

The payout at maturity will be par of $10 plus the basket return if the final basket level is greater than the step-up value, which is expected to be 120% to 126% of the initial basket level.

If the final basket level is greater than or equal to the initial basket level but is less than or equal to the step-up value, the payout will be par plus the step-up payment, which is expected to be 20% to 26%.

If the final basket level is less than the initial basket level but is greater than or equal to the threshold level, 95% of the initial basket level, the payout will be par.

If the final basket level is less than the threshold level, investors will lose 1% for every 1% that the basket declines beyond 5%.

The exact step-up value and step-up payment will be set at pricing.

BofA Merrill Lynch is the agent.

The notes will price in November and settle in December.

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