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Merrill Lynch to price principal-protected notes linked to 30-year, two-year CMS rates
By Laura Lutz
Des Moines, Feb. 1 - Merrill Lynch & Co., Inc. plans to 100% principal-protected notes due February 2028 linked to the 30-year and two-year Constant Maturity Swap (CMS) rate, according to a 424B3 filing with the Securities and Exchange Commission.
The notes are expected to price and settle in November.
Interest will be payable quarterly.
The interest rate for the first year will be 9.125% per year. Thereafter, the interest rate for each quarter will be 9.125% times the fraction of days in that quarter in which the spread of the 30-year CMS rate over the two-year CMS rate is at least 10 basis points.
The notes will be callable on any interest payment date beginning in February 2009 at par plus accrued interest.
If the notes are not called early, the payout at maturity will be par plus accrued interest.
Merrill Lynch & Co. is the agent.
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