By Jennifer Chiou
New York, Nov. 7 - Merrill Lynch & Co. priced $54.1 million of 0% Strategic Return medium-term series C notes due Nov. 7, 2012 linked to the Merrill Lynch Factor Model, according to a 424B3 filing with the Securities and Exchange Commission.
The model is composed of six model factors: the S&P 500 Total Return index, U.S. Dollar index, MSCI EAFE U.S. Dollar Net Total Return index, MSCI Emerging Markets Free U.S. Dollar Net Total Return index, Russell 2000 Total Return index and one-month U.S. Libor. The weights of these factors are adjusted monthly based on a formula meant to assign weightings that, had such weights been assigned at the beginning of a 24-month look-back period, would have resulted in the highest correlation during such period between the monthly changes in the model factors' levels and the monthly positive or negative changes in the level of the HFRI Composite index published by Hedge Fund Research, Inc.
The model is designed to provide a high correlation to hedge fund beta.
The notes priced at par of $10.00.
Payout at maturity will be $9.90 plus the index return. In addition, the index level will be reduced by a 1% adjustment factor annually.
Holders can exchange the notes ahead of maturity during a period in November of each year. The redemption amount will be calculated in the same manner as the payout at maturity.
Merrill Lynch said it applied to have the securities listed as "HFB" on the American Stock Exchange.
Merrill Lynch & Co. is the agent.
| Issuer: | Merrill Lynch & Co., Inc.
|
| Issue: | Strategic Return medium-term series C notes
|
| Underlying asset: | Merrill Lynch Factor Model
|
| Amount | $54.1 million
|
| Maturity: | Nov. 7, 2012
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | $9.90 plus the index return; index level will be reduced by a 1% adjustment factor annually
|
| Put: | During a period in November of each year; payout calculated in the same way as payout at maturity
|
| Pricing date: | Oct. 31
|
| Settlement date: | Nov. 7
|
| Underwriter: | Merrill Lynch & Co.
|
| Fees: | 1.5%
|
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