Published on 2/7/2007 in the Prospect News Structured Products Daily.
New Issue: Merrill Lynch prices $5.515 million annual review notes linked to S&P 500 via JP Morgan
By Laura Lutz
Washington, Feb. 7 - Merrill Lynch & Co., Inc. priced a $5.515 million issue of 0% annual review notes due Feb. 19, 2010 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The notes will be automatically called at increasing premiums if the level of the index is greater than or equal to the initial index level on any of three annual review dates. For each $1,000 principal amount, the redemption amount will be par plus 8.25% if called Feb. 15, 2008, 16.5% if called Feb. 17, 2009 and 24.75% if called Feb. 16, 2010.
If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.
Issuer: | Merrill Lynch & Co., Inc.
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Issue: | Annual review senior unsecured notes
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Underlying index: | S&P 500
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Amount: | $5.515 million
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Maturity: | Feb. 19, 2010
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Coupon: | 0%
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Price: | Par
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Call: | Automatically called if index level is at or above the initial index level on an annual review date; payout will be par plus 8.25% if called Feb. 15, 2008, 16.5% if called Feb. 17, 2009 and 24.75% if called Feb. 16, 2010
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Payout at maturity: | Par unless the index declines by more than 10%, in which case investors will lose 1.1111% for every 1% decline in the index beyond 10%
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Initial index level: | 1,448.39
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Pricing date: | Feb. 2
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Settlement date: | Feb. 7
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Agent: | J.P. Morgan Securities Inc.
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Agent fees: | 2%
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