Merrill Lynch to price capped return notes linked to S&P 500

By Susanna Moon

Chicago, June 3 - Merrill Lynch & Co., Inc. plans to price zero-coupon capped return notes due August 2009 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 double any index gain, with the return capped at between 17.8% and 19.8%. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 5% and will lose 1% for each 1% decline beyond 5%.

The notes are expected to price and settle in June.

Merrill Lynch, Pierce, Fenner & Smith Inc. and its affiliate First Republic Securities Co., LLC are the underwriters.

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