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

By Susanna Moon

Chicago, Aug. 1 - Merrill Lynch & Co., Inc. plans to price 0% Accelerated Return Bear Market Notes due March 2008 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.

Payout at maturity will be par of $10.00 plus five times the absolute value of any decline in the index, up to a maximum return of between 16% and 20%. The exact cap will be set at pricing.

Investors will share in losses based on any index gains but will not receive less than 10%.

The notes are expected to price in August and settle in September.

Merrill Lynch & Co. will be the underwriter.

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