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Merrill Lynch to price principal-protected notes linked to 30-year, 10-year CMS rates
By Laura Lutz
Des Moines, April 30 - Merrill Lynch & Co., Inc. plans to price 100% principal-protected notes due May 2018 linked to the 30-year and 10-year Constant Maturity Swap (CMS) rates, according to a 424B3 filing with the Securities and Exchange Commission.
Interest will be payable quarterly.
The interest rate for the first year will be 9% per year.
Thereafter, the interest rate for each quarter will be 50 times the amount by which the 30-year CMS rate exceeds the 10-year CMS rate, subject to a floor of 0% and a cap that will between 8% and 16% per year. The exact cap will be set at pricing.
Beginning in May 2009, the notes will be callable on any interest payment date at par plus accrued interest.
If the notes are not called early, the payout at maturity will be par plus accrued interest.
The notes are expected to price and settle in May.
Merrill Lynch, Pierce, Fenner & Smith Inc. and First Republic Securities Co., LLC are the underwriters.
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