Merrill Lynch plans lesser index notes linked to S&P 500, Euro Stoxx 50

By Susanna Moon

Chicago, Nov. 9 - Merrill Lynch & Co., Inc. plans to price an issue of lesser index annual review notes due Dec. 20, 2010 linked to the S&P 500 index and the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index levels for both indexes are at or above their respective call levels on any of three annual review dates.

On the first review date, the call level for each index will be 90% of its initial level. On the second and third review dates, the call level for each index will be equal to its initial level.

The redemption amount will be par plus at least 16.05% if the notes are called on Dec. 15, 2008, par plus at least 32.1% if called on Dec. 15, 2009 and par plus at least 48.15% if called on Dec. 15, 2010. The exact amounts will be set at pricing.

The payout at maturity will be par if either index falls by up to 10%. Beyond a 10% drop, investors will lose 1.1111% for each 1% loss in the lesser-performing index.

The notes are expected to price on Nov. 16 and settle on Nov. 21.

J.P. Morgan Securities Inc. is the agent for the offering.

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