Published on 6/30/2008 in the Prospect News Structured Products Daily.
New Issue: Merrill Lynch sells $1.11 million principal-protected absolute return barrier notes on S&P 500
By Susanna Moon
Chicago, June 30 - Merrill Lynch & Co., Inc. priced $1.11 million of zero-coupon 100% principal-protected absolute return barrier notes due June 30, 2009 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.
If the index stays within its range during the life of the notes, the payout at maturity will be par plus the absolute value of the return, capped at a payout equal to 116% of par. Investors will receive at least par.
The upper barrier of the range is 116% of the index's initial level, and the lower barrier is 84% of its initial level.
Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC are the underwriters.
Issuer: | Merrill Lynch & Co., Inc.
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Issue: | Principal-protected absolute return barrier notes
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Underlying index: | S&P 500
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Amount: | $1,106,000
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Maturity: | June 30, 2009
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index stays within 16% of its initial level during the life of the notes, par plus absolute value of return, capped at 116% of par; floor of par
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Initial index level: | 1,321.97
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Lower barrier: | 1,110.45, or 84% of initial level
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Upper barrier: | 1,533.49, or 116% of initial level
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Pricing date: | June 25
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Settlement date: | June 30
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Underwriters: | Merrill Lynch, Pierce, Fenner & Smith Inc.; First Republic Securities Co., LLC
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Fees: | 1%
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