Bloomberg News

Bank of America Structured Notes Link Thai Baht With Bank Debt

June 22, 2012

Bank of America Corp. (BAC:US) sold $16.1 million of structured notes tied to the debt of banks including Morgan Stanley with a coupon dependent on the Thai baht exchange rate.

The bank issued $7.02 million of notes linked to debt from ICICI Bank Ltd. (ICICIBC) Bahrain, BNP Paribas SA and Morgan Stanley this week, according to data compiled by Bloomberg. It also sold two securities tied just to Morgan Stanley for $4.29 million and $4.75 million.

Bank of America has sold three other credit-linked notes with coupons linked to the dollar-baht currency pair this year for $15.54 million, Bloomberg data show.

Thailand’s baht had its biggest weekly decline versus the dollar since December after the central bank cut the growth forecast for exports, citing Europe’s debt crisis. The currency retreated 0.9 percent to 31.8 per dollar as of 5:07 p.m. in London.

Andrew Todd, a Bank of America spokesman in London, declined to comment on the structured note issues.

Credit-linked notes are securities with derivatives tied to the risk of a company or country’s debt and offer higher yields and tailored maturities that may not be available in the bond market. Investors suffer losses if there’s a default for either the bank issuing the note or the reference entity. The coupon can be tied to an exchange rate.

To contact the reporter on this story: Alastair Marsh in London at amarsh25@bloomberg.net

To contact the editor responsible for this story: Paul Armstrong at parmstrong10@bloomberg.net


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