Merrill Lynch plans return enhanced notes linked to Russell 2000

By Angela McDaniels

Seattle, Dec. 1 - Merrill Lynch & Co., Inc. plans to sell return enhanced notes linked to the Russell 2000 index from time to time, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus any positive return on the index multiplied by the upside leverage factor, subject to a maximum total return. Investors will be fully exposed to any decline in the index.

Some note issues will include a buffer. For these notes, the payout at maturity will be par plus any positive return on the index multiplied by the upside leverage factor, subject to a maximum total return; par if the index declines by up to the buffer level; or par minus the decline in the index multiplied by the downside leverage factor if the index ends below the buffer level.

The upside leverage factor, maximum total return and, if applicable, buffer level and downside leverage factor will be specified in the pricing supplement for each issue.

The notes will not pay a coupon.

Merrill Lynch, Pierce, Fenner & Smith Inc. will underwrite the offerings.

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