Merrill Lynch plans 0% notes linked to Nikkei 225 via JPMorgan

By Angela McDaniels

Seattle, Dec. 8 - Merrill Lynch & Co., Inc. plans to price an issue of 0% annual review notes due Jan. 7, 2010 linked to the Nikkei 225 index via J.P. Morgan Chase Bank NA and J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The notes are expected to price on Dec. 15 and settle on Dec. 20.

The notes will be automatically called at increasing premiums if the index level is equal to or greater than its initial level on any of three annual review dates.

For each $1,000 principal amount, the redemption amount will be at least 13.3% if the notes are called on Jan. 4, 2008, at least 26.6% if called on Jan. 5, 2009 and at least 39.9% if called on Jan. 4, 2010. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%. Investors will lose 1.111% for every 1% decline in the index beyond 10%.

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