Bank of America plans market-linked step-up autocallables on Russell

By Toni Weeks

San Luis Obispo, Calif., Dec. 23 - Bank of America Corp. plans to price 0% autocallable market-linked step-up notes due January 2017 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus 9% per year if the index closes at or above the initial level on an annual observation date.

If the notes are not called and the index finishes above the step-up value - 115% to 121% of the initial level - the payout at maturity will be par of $10 plus the index return.

If the index finishes at or above the initial level but is less than or equal to the step-up value, the payout at maturity will be par of $10 plus the step-up payment of 15% to 21%.

If the index return is negative and the index finishes at or above the threshold value, 95% of the initial index level, the payout will be par.

Investors will be exposed to any losses beyond the 95% trigger level.

The exact terms will be set at pricing.

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

BofA Merrill Lynch is the agent.

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