By Susanna Moon
Chicago, Sept. 4 - Merrill Lynch & Co., Inc. priced $80.5 million of 0% accelerated return bear market notes due Oct. 30, 2009 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus five times any decline in the index, capped at a return of 19%, or $11.90 per $10.00 note.
Investors will receive par if the index gains by up to 110% of its initial level and will be exposed to increases above 110%.
The issuer has applied to list the notes on the NYSE Arca under the symbol "SBL."
Merrill Lynch & Co. is the underwriter.
| Issuer: | Merrill Lynch & Co. Inc.
|
| Issue: | Accelerated return bear market notes
|
| Underlying index: | S&P 500
|
| Amount: | $80.5 million
|
| Maturity: | Oct. 30, 2009
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus five times any index drop, capped at 19%; par if index gains by up to 110% of initial level and exposure to increases above 110%
|
| Initial index level: | 1,281.66
|
| Pricing date: | Aug. 27
|
| Settlement: | Sept. 9
|
| Underwriter: | Merrill Lynch & Co. Inc.
|
| Fees: | 2%
|
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