By Jennifer Chiou
New York, Dec. 4 - Merrill Lynch & Co., Inc. priced $5.8 million of zero-coupon 100% principal-protected conditional participation notes due Dec. 2, 2009 linked to the dollar relative to the euro, according to a 424B3 filing with the Securities and Exchange Commission.
If the final exchange rate is below the initial rate and greater than the threshold level of 15.075% less than the initial rate, payout at maturity will be par of $10.00 plus the rate change.
If the final rate is less than the threshold, investors will receive par plus a conditional supplemental payment that will equal $0.30 per note.
If the final rate is more than the initial rate, investors will receive par.
Merrill Lynch, Pierce, Fenner & Smith Inc. and its affiliate First Republic Securities Co., LLC are the underwriters.
| Issuer: | Merrill Lynch & Co., Inc.
|
| Issue: | 100% principal-protected conditional participation notes
|
| Underlying rate: | Dollar relative to euro
|
| Amount: | $5.8 million
|
| Maturity: | Dec. 2, 2009
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par if the final rate is more than the initial rate; par plus the rate change if the final exchange rate is below the initial rate and greater than the threshold level of 15.075% less than the initial rate; par plus 3% if the final rate is less than the threshold
|
| Initial rate: | 1.2935 dollars per euro
|
| Threshold level: | 1.0985, 15.075% less than the initial rate
|
| Pricing date: | Nov. 26
|
| Settlement date: | Dec. 5
|
| Underwriters: | Merrill Lynch & Co. and First Republic Securities Co., LLC
|
| Fees: | 1.25%
|
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