-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Ixuo8NEEjnWCo0OV8bQsrZuFIcXqnKAEWoUa9yjVHPnMQLl9rcN3n+EB7/m+nSsB R4pVtgVmV5a3r2o7SDVMHQ== 0001193125-10-196456.txt : 20100825 0001193125-10-196456.hdr.sgml : 20100825 20100825113233 ACCESSION NUMBER: 0001193125-10-196456 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 4 FILED AS OF DATE: 20100825 DATE AS OF CHANGE: 20100825 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: BANK OF AMERICA CORP /DE/ CENTRAL INDEX KEY: 0000070858 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 560906609 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-158663 FILM NUMBER: 101036910 BUSINESS ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 7043868486 MAIL ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: BANKAMERICA CORP/DE/ DATE OF NAME CHANGE: 19981022 FORMER COMPANY: FORMER CONFORMED NAME: NATIONSBANK CORP DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: NCNB CORP DATE OF NAME CHANGE: 19920107 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: BANK OF AMERICA CORP /DE/ CENTRAL INDEX KEY: 0000070858 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 560906609 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 7043868486 MAIL ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: BANKAMERICA CORP/DE/ DATE OF NAME CHANGE: 19981022 FORMER COMPANY: FORMER CONFORMED NAME: NATIONSBANK CORP DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: NCNB CORP DATE OF NAME CHANGE: 19920107 FWP 1 dfwp.htm FREE WRITING PROSPECTUS INVESTABLE VOLATILITY INDEX Free Writing Prospectus Investable Volatility Index
Overview
Investors have historically struggled to find diversifying assets to complement equity portfolios.  Assets typically associated
with diversification, such as corporate bonds, international equities, or commodities, often fail to produce diversification
benefits during significant equity market downturns.  In contrast, equity market volatility, which is a measure of the variability
of the equity markets over time, has more consistently demonstrated negative correlation with equity returns, and may
provide investors with diversification benefits when they need it most. 
Exposure to the volatility of the equity market may provide diversification benefits when added to an equity portfolio.  These
benefits may include:
Negative correlation to equities
Higher risk-adjusted returns
Protection against tail risk, the risk of extreme equity market declines
Investable Volatility Index
Month
S&P
500
®
Index
Investable
Volatility
Index
MSCI
EAFE
Index
DJ-UBS
Commodity
Index
ML US
Investment
Grade
ML US
High
Yield
Jul-07
-3.1%
26.3%
-1.5%
1.6%
0.3%
-3.1%
Nov-07
-4.2%
17.0%
-3.5%
-3.4%
0.9%
-2.0%
Jan-08
-6.0%
4.7%
-9.3%
4.0%
1.2%
-1.4%
Feb-08
-3.2%
6.8%
1.3%
12.1%
0.1%
-1.2%
Jun-08
-8.4%
3.3%
-8.3%
8.9%
-0.4%
-2.7%
Sep-08
-8.9%
16.4%
-14.7%
-11.6%
-7.3%
-8.3%
Oct-08
-16.8%
65.7%
-20.2%
-21.3%
-7.4%
-16.3%
Nov-08
-7.2%
14.3%
-5.7%
-7.0%
3.9%
-8.4%
Jan-09
-8.4%
8.4%
-9.9%
-5.4%
0.3%
5.3%
Feb-09
-10.6%
-1.3%
-10.5%
-4.5%
-1.6%
-3.5%
Jan-10
-3.6%
-5.5%
-4.4%
-7.3%
2.0%
1.5%
May-10
-8.0%
32.7%
-12.1%
-6.9%
-0.6%
-3.5%
Jun-10
-5.2%
10.2%
-1.2%
0.3%
2.1%
1.3%
Avg.
-7.2%
15.3%
-7.7%
-3.1%
-0.5%
-3.3%
Index Description
The
Investable
Volatility
Index
(the
“Index”)
is
designed to provide a benchmark for investing in equity
market volatility.  The Index was created by Bank of
America Merrill Lynch and is calculated by the CBOE.
The Index is formulated to offer exposure to equity
market volatility that:
Responds to changes in volatility
Reduces holding costs associated with volatility
On a historical basis, the Index has maintained
consistently
high
negative
correlation
with
the
S&P
500
®
Index and performed best in periods of extreme equity
market dislocation, in sharp contrast with many other
assets.
Index Mechanics
The return on the Index reflects changes in the level of
forward
implied
volatility
of
the
S&P
500
®
Index
as
calculated
using
market
prices
of
listed
S&P
500
®
Index
options. 
The Index measures the forward implied volatility of the
S&P 500
®
Index for a three-month window centered
approximately five months in the future, and the Index
return reflects transaction costs associated with rolling a
hypothetical position to maintain this exposure. 
The Index was designed to achieve the following goals:
Efficiency
The longer-dated volatilities on which the Index is
based typically sit on a flatter part of the volatility curve and
have historically exhibited more moderate holding costs (or
the cost of rolling the position to maintain constant exposure
to the target maturity)
Responsiveness
The Index is designed to be responsive to
volatility in the equity markets
Liquidity
The
Index
is
based
on
the
prices
of
listed
S&P
500
®
Index options, which are the most liquid instruments in the
volatility market
Transparency
The Index is calculated by the CBOE
TM
Source:
Merrill
Lynch
Wealth
Management
-
IMG
Investment
Analytics.                                                     
Data:
Jan
2005
-
Jul
2010,
only
in
months
when
the
S&P
500
®
Index
decreased
by
more
than
3%.
Historical
results
may
not
be
indicative
of
future
performance.
Filed Pursuant to Rule 433
Registration No. 333-158663
SM
Monthly
performance
when
the
S&P
500
®
Index
decreases
by
more
than
3%


Source:
Bank
of
America
Merrill
Lynch
Equity
Derivatives.
Data:
12/31/04 –
7/30/10. Weights
are reset monthly and all hypothetical portfolios are set to $100 on 12/31/04.
Index levels
before 3/23/10 represent hypothetical results based on historical inputs. Historical results
may not be indicative of future performance.
Source:
Bank
of
America
Merrill
Lynch
Equity
Derivatives.
Data:
12/31/04 –
7/30/10. Returns
are calculated daily. Index levels before 3/23/10 represent hypothetical results based
on
historical
inputs.
Historical
results
may
not
be
indicative
of future performance.
Investor Applications
Bank
of
America
Merrill
Lynch
has
the
ability
to
deliver
various
products
linked
to
the
Index.
From
registered
structured
notes for individual investors to customized OTC products for institutional and high net worth investors, Bank of America
Merrill Lynch can structure products that offer exposure to the performance of the Index. 
Using the Index to Hedge an Equity
Portfolio
The Index may offer powerful diversification to equity
portfolios.  On a historical basis, even small
hypothetical allocations to the Index significantly
improved performance by reducing risk and
increasing risk-adjusted returns.
Allocation to the Index Has Potential to Shift Return Distribution
Reduced Potential for Large Losses
The Index may help to moderate a portfolio’s return
distribution, thus reducing the occurrence of large
losses.  As the chart on the right shows, a
hypothetical 15% allocation to the Index has
mitigated large losses on a historical basis.
Allocation to the Index Has Potential to Improve Risk-adjusted Returns
2
A hypothetical 10% allocation to the Index
outperformed
the
S&P
500
®
Total
Return
Index
(“SPTR”) by approximately 10%, and was
approximately 27% less volatile
A hypothetical 20% allocation to the Index
outperformed the SPTR by approximately 19%,
and was approximately 43% less volatile
A hypothetical portfolio with a 15% allocation to
the Index had a daily drawdown of 2.5% or more
approximately 1.5% of the time, compared to
approximately 4.1% of the time for the SPTR
$60
$70
$80
$90
$100
$110
$120
$130
$140
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
  SPTR
  90% SPTR, 10% Investable Volatility Index
  80% SPTR, 20% Investable Volatility Index
0%
5%
10%
15%
20%
25%
-9.50%
-7.00%
-4.75%
-3.00%
-1.25%
0.00%
1.25%
3.00%
4.75%
7.00%
9.50%
12.00%
  SPTR
  85% SPTR, 15% Investable Volatility Index
Allocation to
volatility may
mitigate large
losses
Investable Volatility Index
TM


3
For Additional Information
Please contact a Financial Advisor or find one by calling 1-800-MERRILL
Individuals
Please contact Bank of America Merrill Lynch Equity Derivative Sales by calling 212-449-6756, or
by emailing Investablevolinfo@baml.com
Institutions
Risk Factors
Please note that there are risks arising from an investment linked to the Index, including but not limited to the
following:
You should review the complete offering documents of any instrument linked to the Index for a more complete
description of the risks and terms relating to that investment.
The Index methodology includes features, including a deduction for transaction costs, and a multiplier of 1.2, that can reduce
its level.
The Index and its components have limited historical information.
Changing
levels
of
forward
implied
volatility
of
the
S&P
500
®
Index
may
reduce
the
level
of
the
Index.
The policies of the sponsor and calculation agent for the Index could result in changes to the Index which may impact its
levels.
Investable Volatility Index
TM
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