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Merrill Lynch to price principal-protected notes linked to BRIC currencies
By Angela McDaniels
Tacoma, Wash., Aug. 26 - Merrill Lynch & Co., Inc. plans to price zero-coupon 100% principal-protected notes due October 2010 linked to a basket of currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the Brazilian real, Russian ruble, Indian rupee and Chinese renminbi.
If the basket appreciates relative to the dollar, the payout at maturity will be par of $10 plus the greater of the appreciation and the threshold percentage - which is expected to be 16% to 22% and will be set at pricing.
If the basket depreciates relative to the dollar, the payout will be par.
The notes will settle in October.
Merrill Lynch & Co. will be the underwriter.
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