By Jennifer Chiou
New York, July 3 - Merrill Lynch & Co., Inc. priced $104.7 million of Protected Covered Call Enhanced Income Notes (Proceeds) due July 5, 2012 linked to the Select 30 Proceeds index, series 5, according to a 424B5 filing with the Securities and Exchange Commission.
Payout at maturity will be par of $10.00 plus an additional amount determined according to any gain on the index.
The stocks in the Select 30 basket will be determined annually by Merrill Lynch International, as the calculation agent, first by identifying the 300 most liquid stocks in the S&P 500. From these stocks, at least 100 are identified that have the highest rankings for earnings and dividends growth, as ranked by the S&P common stock ranking system.
These 100 or more stocks are then divided according to their classification in the global industry classification standard. Finally, the 30 stocks having the highest annualized volatility across the various classifications are identified.
The current Select 30 basket was determined in July 2006 and due to a merger in January, there are currently 29 stocks in the Select 30 basket. The Select 30 basket will be reconstituted in July, after which there will be 30 stocks in the basket.
The interest payments, if any, on the Proceeds will depend on the income deemed to be derived from the basket units held in the reference index over each quarterly calculation period, which will be based on the cash dividends linked to the Select 30 stocks and the value of premiums in respect of call options on those stocks. Interest will be equal to the number of basket units times the adjusted quarterly income, provided the calculation agent determines that the level of the reference index, less any basket unit income, is greater than 105% of the floor level on the interest determination date.
Merrill Lynch & Co. is the underwriter.
| Issuer: | Merrill Lynch & Co., Inc.
|
| Issue: | Protected Covered Call Enhanced Income Notes (Proceeds)
|
| Underlying index: | Select 30 Proceeds index, series 5
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| Amount: | $104.7 million
|
| Maturity: | July 5, 2012
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| Coupon: | Equal to the number of basket units times the adjusted quarterly income based on cash dividend linked to the Select 30 stocks, if any, provided the calculation agent determines that the level of the reference index, less any basket unit income, is greater than 105% of the floor level on the interest determination date; calculated quarterly; floor of zero
|
| Payout at maturity: | Par in cash if the index level finishes at its initial level or lower; otherwise par plus any index gain
|
| Pricing date: | June 28
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| Settlement date: | July 5
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| Underwriter: | Merrill Lynch & Co.
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| Fees: | 3%
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