Merrill Lynch to price principal protection notes linked to Asian currency basket

By Angela McDaniels

Seattle, Aug. 7 - Merrill Lynch & Co., Inc. plans to price zero-coupon 100% principal protection one-year notes linked to a basket of Asian currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket will include equal weights of the Chinese renminbi, Malaysian ringgit, Indonesian rupiah and Singapore dollar.

The payout at maturity will be par of $10 plus any appreciation in the basket versus the U.S. dollar multiplied by the participation rate, which is expected to be 120% to 140% and will be determined at pricing. If the basket depreciates versus the U.S. dollar, the payout will be par.

The notes are expected to price in August and settle in September.

Merrill Lynch & Co. will be the underwriter.

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