Merrill Lynch to price principal-protected notes linked to Swiss franc/yen exchange rate

By Jennifer Chiou

New York, May 14 - Merrill Lynch & Co., Inc. plans to price zero-coupon principal-protected notes due September 2008 linked to the Swiss franc/Japanese yen exchange rate, according to a 424B3 filing with the Securities and Exchange Commission.

The notes will price in May at par of $10 and will settle in June.

If the final exchange rate is less than the initial exchange rate, the payout at maturity will be par plus the percentage decrease in the exchange rate multiplied by the participation rate, which will be between 115% and 135% and will be determined at pricing. Investors will receive par if the rate increases.

Merrill Lynch & Co. will be the underwriter.

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