New Issue: Merrill Lynch prices $3.32 million capped return notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., July 24 - Merrill Lynch & Co., Inc. priced $3.32 million of 0% capped return notes due Sept. 25, 2009 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 200% of any index gain, subject to a maximum return of 19%. Investors will receive par if the index declines by 5% or less and will lose 1% for every 1% decline beyond 5%.

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

Issuer:	Merrill Lynch & Co., Inc.
Issue:	Capped return notes
Underlying index:	S&P 500
Amount:	$3,319,000
Maturity:	Sept. 25, 2009
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 200% of any index gain, capped at maximum return of 19%; par if index declines by 5% or less; 1% loss for every 1% decline beyond 5%
Initial index level:	1,260.68
Pricing date:	July 18
Settlement date:	July 25
Underwriters:	Merrill Lynch & Co. and First Republic Securities Co., LLC
Fees:	1.5%

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