Merrill Lynch to price accelerated return notes linked to S&P 500

By Susanna Moon

Chicago, Sept. 19 - Merrill Lynch & Co., Inc. plans to price zero-coupon accelerated return notes due November 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Payout at maturity will be par plus triple any index gain, with the return capped at between 23% and 27%. The exact cap will be set at pricing.

Investors will be exposed to any losses.

The notes are expected to price in September and settle in October.

The issuer said it applied to list the notes on the NYSE Arca under the symbol "SJO."

Merrill Lynch, Pierce, Fenner & Smith Inc. and its affiliate First Republic Securities Co., LLC are the underwriters.

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