Merrill Lynch to price 0% notes linked to S&P 100/Russell 2000 Long Short index

By Laura Lutz

Des Moines, May 31 - Merrill Lynch & Co. Inc. plans to price an issue of 0% Long Short Notes due January 2009 linked to the S&P 100/Russell 2000 Long Short index - series XIV, according to a 424B3 filing with the Securities and Exchange Commission.

The index is made up of a long position of 150% in the S&P 100 index and a short position of 50% in the Russell 2000 index.

At maturity, investors will receive par of $10 plus any index gain or minus any index decline.

If the index declines by 50% or more on any day at least seven business days before maturity, the notes will be redeemed and the payout will be calculated using the value of the index at that time.

The notes are expected to price in June and settle in July.

Merrill Lynch & Co. will be the underwriter.

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