Merrill Lynch to price 0% buffered return enhanced notes linked to Asian index basket via JPMorgan

By E. Janene Geiss

Philadelphia, July 20 - Merrill Lynch & Co., Inc. plans to price 0% buffered return enhanced notes due Aug. 8, 2008 linked to an Asian index basket via J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Amex Hong Kong 30 with a 16.5% weight, the FTSE/Xinhua China 25 with a 22% weight, the Korea Stock Price Index 200 with a 29.65% weight, the MSCI Taiwan index with a 21.75% weight and the MSCI Singapore with a 10.10% weight.

The notes are expected to price July 27 and settle Aug. 1.

The payout at maturity will be double any positive return on the index up to a maximum return, which is expected to be at least 17% and will be determined at pricing. Investors will receive par if the index declines by 10% or less. Investors will lose 1.1111% for every 1% the index declines beyond 10%.

The final index level will be the average of the index's closing levels on each business day from July 30, 2008 to Aug. 5, 2008.

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