Merrill Lynch plans lesser index notes linked to S&P 500, Nikkei 225

By Laura Lutz

Des Moines, Nov. 2 - Merrill Lynch & Co., Inc. plans to price an issue of lesser index annual review notes due Dec. 20, 2010 linked to the S&P 500 index and the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index levels for both indexes are at or above their respective call levels on any of three annual review dates.

On the first review date, the call level for each index will be 90% of its initial level. On the second and third review dates, the call level for each index will be equal to its initial level.

The redemption amount will be par plus at least 20.25% if the notes are called on Dec. 15, 2008, par plus at least 40.5% if called on Dec. 15, 2009 and par plus at least 60.75% if called on Dec. 15, 2010. The exact amounts will be set at pricing.

The payout at maturity will be par if neither index has declined by more than 10%.

Investors will lose 1.1111% for each 1% that the lesser-performing index declines beyond 10%.

The notes are expected to price on Nov. 9 and settle on Nov. 14.

J.P. Morgan Securities Inc. is the agent for the offering.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.