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Merrill Lynch plans principal-protected notes linked to CMS rates
By Angela McDaniels
Tacoma, Wash., June 16 - Merrill Lynch & Co., Inc. plans to price 100% principal-protected notes due July 2018 linked to the 30-year and 10-year Constant Maturity Swap rates, according to an FWP filing with the Securities and Exchange Commission.
Interest will be payable quarterly and will accrue at a rate of 9% per year for the first year. Beginning in July 2009, the interest rate will be equal to 50 times the spread of the 30-year CMS rate over the 10-year CMS rate. Interest will be subject to a floor of 0% and a cap of 8% to 16% per year, with the exact cap to be set at pricing.
Beginning in July 2009, the notes will be callable at par on any interest payment date.
If the notes are not called, the payout at maturity will be par.
The notes will settle in July.
Merrill Lynch & Co. will be the underwriter.
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