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Merrill Lynch plans lesser index notes linked to S&P 500, Euro Stoxx 50
By Laura Lutz
Des Moines, Sept. 14 - Merrill Lynch & Co., Inc. plans to price lesser index annual review notes due Oct. 5, 2010 linked to the S&P 500 index and the Dow Jones Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index levels for both indexes are at or above their respective call levels on any of three annual review dates.
On the first review date, the call level for each index will be 90% of its initial level. On the second and third review dates, the call level for each index will be equal to its initial level.
The redemption amount will be par plus 15.45% if the notes are called on Sept. 30, 2008, par plus 30.9% if called on Sept. 30, 2009 and par plus 46.35% if called on Sept. 30, 2010.
The payout at maturity will be par if neither index has declined by more than 10%.
Investors will lose 1.1111% for each 1% that the lesser-performing index declines beyond 10%.
The notes are expected to price on Sept. 21 and settle on Sept. 26.
J.P. Morgan Securities Inc. is the agent.
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