By E. Janene Geiss
Philadelphia, Dec. 9 - Merrill Lynch & Co., Inc. priced $25.65 million of 0% Capped Leveraged Index Return Notes due June 10, 2010 linked to an index basket, according to a 424B3 filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 with a 45% weight, along with the MSCI EAFE index and MSCI Emerging Markets index, each with a 27.5% weight.
The payout at maturity will be par of $10 plus double any basket gain, subject to a maximum return of 40.3%. Investors will receive par if the basket declines by 15% or less and will lose 1% for every 1% the basket declines beyond 15%.
The closing basket level will be the arithmetic average of the basket's closing levels on the five consecutive trading days ending June 7, 2010.
Merrill Lynch & Co. and First Republic Securities Co., LLC are the underwriters.
| Issuer: | Merrill Lynch & Co., Inc.
|
| Issue: | Capped Leveraged Index Return Notes
|
| Underlying index: | S&P 500 (45% weight), MSCI EAFE (27.5% weight) and MSCI Emerging Markets (27.5% weight)
|
| Amount: | $25,648,000
|
| Maturity: | June 10, 2010
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 40.3%; par if the basket declines by 15% or less; full exposure to any basket decline beyond 15%
|
| Initial basket level: | 100
|
| Final index level: Average of basket's closing levels on five business days ending June 7, 2010
|
| Pricing date: | Dec. 2
|
| Settlement date: | Dec. 9
|
| Underwriters: | Merrill Lynch & Co. and First Republic Securities Co., LLC
|
| Fees: | 2%
|
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