By Jennifer Chiou
New York, Nov. 7 - Merrill Lynch & Co., Inc. priced a $21.1 million issue of 0% Accelerated Return Bear Market Notes due Jan. 21, 2010 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.
Payout at maturity will be par plus five times the absolute value of any decrease on the index. The return will be capped at $13.125 per $10.00 note. If the index increases, investors will receive par for gains up to 10% and will lose 1% for each 1% index gain beyond 10%.
The issuer said it applied to list the notes on NYSE Arca under the symbol "SXF."
Merrill Lynch & Co. and First Republic Securities Co., LLC are the underwriters.
| Issuer: | Merrill Lynch & Co., Inc.
|
| Issue: | Accelerated Return Bear Market Notes
|
| Underlying index: | S&P 500
|
| Amount: | $21.1 million
|
| Maturity: | Jan. 21, 2010
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus five times the absolute value of any decrease on the index, capped at $13.125 per $10.00 principal amount; par for gains up to 10%; investors will lose 1% for each 1% index gain beyond 10%
|
| Starting index level: | 954.09
|
| Pricing date: | Oct. 30
|
| Settlement date: | Nov. 10
|
| Underwriters: | Merrill Lynch & Co., First Republic Securities Co., LLC
|
| Fees: | 2%
|
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