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Merrill Lynch to price 0% buffered notes linked to Asian index basket via JPMorgan
By E. Janene Geiss
Philadelphia, July 27 - Merrill Lynch & Co., Inc. plans to price 0% buffered return enhanced notes due Aug. 15, 2008 linked to an Asian index basket via J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the Amex Hong Kong 30 index with a 16.5% weight, the FTSE/Xinhua China 25 with a 22% weight, the Korea Stock Price Index 200 with a 29.65% weight, the MSCI Taiwan with a 21.75% weight and the MSCI Singapore with a 10.10% weight.
The notes are expected to price Aug. 3 and settle Aug. 8.
The payout at maturity will be par plus double any index gain, subject to a maximum return that is expected to be at least 16.4% and will be determined at pricing. Investors will receive par if the index declines by 10% or less and will lose 1.1111% for every 1% the index declines beyond 10%.
The final index level will be the average of the index's closing levels on each business day from Aug. 5, 2008 to Aug. 12, 2008.
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