Merrill Lynch to price Accelerated Return Bear Market Notes linked to Dow Jones Industrial Average

By Jennifer Chiou

New York, June 1 - Merrill Lynch & Co., Inc. plans to price 0% Accelerated Return Bear Market Notes linked to the Dow Jones Industrial Average, according to a 424B3 filing with the Securities and Exchange Commission.

The notes are expected to settle in July and will mature in September 2008.

At maturity, the notes will pay five times the absolute value of any decrease on the index, capped at a maximum total payment of between $11.80 and $12.20 per $10.00 note, with the exact level to be set at pricing. Investors will receive par if the index increases by up to 10%. Investors will lose 1% for each 1% gain on the index beyond 10%.

Merrill Lynch & Co. will be the underwriter.

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