Merrill Lynch to price principal-protected range notes linked to Canadian dollar versus U.S. dollar

By E. Janene Geiss

Philadelphia, Sept. 24 - Merrill Lynch & Co., Inc. plans to price 100% principal-protected range notes due January 2009 linked to the spot exchange rate of the Canadian dollar in U.S. dollars, according to an FWP filing with the Securities and Exchange Commission.

If the exchange rate stays within the upper range limit and the lower range limit, the payout at maturity will be par of $10 plus an additional $0.1875 to $0.2250. The exact contingent supplemental payment will be set at pricing.

The range will be 0.0450 to 0.0600 above and below the initial spot exchange rate. The exact levels will be set at pricing.

If the exchange rate is outside of the range, investors will receive an out-of-range payment of $10.025 per $10 principal amount. Investors will receive no less than $10.025.

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

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

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