Published on 5/30/2008 in the Prospect News Structured Products Daily.
New Issue: Merrill Lynch prices $1 million absolute return barrier notes linked to S&P 500
By Jennifer Chiou
New York, May 30 - Merrill Lynch & Co., Inc. priced $1 million of zero-coupon 100% principal-protected absolute return barrier notes due June 1, 2009 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.
If the index remains within the upper and lower barriers throughout the life of the notes, the payout at maturity will be par plus the absolute value of the index return. Otherwise, the payout will be par.
The upper and lower barriers are 15.5% above and below the initial index level, respectively.
Merrill Lynch & Co. and First Republic Securities Co., LLC are the underwriters.
Issuer: | Merrill Lynch & Co., Inc.
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Issue: | 100% principal-protected absolute return barrier notes
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Underlying index: | S&P 500
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Amount: | $1,002,000
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Maturity: | June 1, 2009
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index remains within barriers throughout life of notes, absolute value of index return; otherwise, par
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Initial index level: | 1,385
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Lower barrier: | 1,170.62, 84.5% of initial level
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Upper barrier: | 1,600.08, 115.5% of initial level
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Pricing date: | May 27
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Settlement date: | May 30
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Underwriters: | Merrill Lynch & Co. and First Republic Securities Co., LLC
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Fees: | 2.5%
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