Merrill Lynch to price 0% bear market notes linked to S&P 500

By Angela McDaniels

Seattle, April 10 - Merrill Lynch & Co., Inc. plans to price an offering of 0% Accelerated Return Bear Market Notes due July 2008 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.

The notes are expected to price and settle in May.

The payout at maturity will be par of $10.00 plus triple the absolute value of any percentage decrease in the index level, capped at a maximum return that will be between 16.6% and 20.6% and will be determined at pricing.

If the index increases by 10% or less, the payout will be par. Investors will lose 1% for each 1% advance beyond 10%.

Merrill Lynch has applied to list the notes on the American Stock Exchange under the symbol "NBM."

Merrill Lynch, Pierce, Fenner & Smith Inc. will be the underwriter and will receive an underwriting discount of 2%.

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