Published on 3/10/2008 in the Prospect News Structured Products Daily.
New Issue: Merrill Lynch prices $4.9 million 0% relative value notes linked to S&P 100, Russell 2000
By Laura Lutz
Des Moines, March 10 - Merrill Lynch & Co., Inc. priced $4.9 million of 0% relative value notes due April 13, 2009 linked to a long position in the S&P 100 index and a short position in the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
The basket return will be equal to the return on the S&P 100 index minus the return on the Russell 2000 index.
If the final basket level is at least the initial level, the payout at maturity will be par plus 300% of any increase in the basket, capped at a maximum payout of 115.3% of par.
Otherwise, the payout will be par times the basket performance, subject to a floor of 0%.
Merrill Lynch, Pierce, Fenner & Smith Inc. and its affiliate First Republic Securities Co., LLC are the underwriters.
Issuer: | Merrill Lynch & Co., Inc.
|
Issue: | Relative value notes
|
Underlying basket: | Long position in S&P 100 index and short position in Russell 2000 index
|
Amount: | $4.9 million
|
Maturity: | April 13, 2009
|
Coupon: | 0%
|
Price: | Par
|
Payout at maturity: | If final basket level is at least initial level, par plus 300% of any basket gain, capped at payout of 115.3% of par; otherwise, par times basket performance; floor of 0%
|
Initial levels: | 613.24 for S&P 100; 684.22 for Russell 2000
|
Pricing date: | March 3
|
Settlement date: | March 10
|
Underwriters: | Merrill Lynch, Pierce, Fenner & Smith Inc. and affiliate First Republic Securities Co., LLC
|
Fees: | 1.5%
|
© 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.