Merrill Lynch to price 0% Accelerated Return Notes linked to S&P 500

By Jennifer Chiou

New York, April 30 - Merrill Lynch & Co., Inc. plans to price 0% Accelerated Return Notes due August 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index level is at least the initial level, the payout at maturity will be par plus 300% of any gain in the index. The payout will be capped at between 116% and 120% of par. The exact cap will be set at pricing.

Otherwise, the payout will be par times the index performance.

The notes are expected to price in May and settle in June.

Merrill said it will apply to list the notes on the American Stock Exchange under the symbol "SAR."

Merrill Lynch & Co. and First Republic Securities Co., LLC are the underwriters.

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