Merrill Lynch to price Accelerated Return Notes linked to S&P MidCap 400 index

By Jennifer Chiou

New York, July 2 - Merrill Lynch & Co., Inc. plans to price 0% Accelerated Return Notes due August 2008 linked to the S&P MidCap 400 index, according to an FWP filing with the Securities and Exchange Commission.

Payout at maturity will be par of $10.00 plus triple any gain on the index, up to a maximum payout that will be between 11.5% and 15.5%. The exact cap will be set at pricing.

If the basket declines, investors will receive par times the basket performance.

Merrill Lynch applied to list the notes under "MMF" on the American Stock Exchange.

The notes are expected to price and settle in August.

Merrill Lynch & Co. will be the underwriter.

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