Published on 12/20/2006 in the Prospect News Structured Products Daily.
New Issue: Merrill Lynch prices $2.225 million annual review notes linked to Nikkei via JP Morgan
By E. Janene Geiss
Philadelphia, Dec. 20 - Merrill Lynch & Co., Inc. priced a $2.225 million issue of 0% annual review notes due Jan. 7, 2010 linked to the Nikkei 225 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The notes will be automatically called at increasing premiums if the level of the index is greater than or equal to the initial index level on any of three annual review dates. For each $1,000 principal amount, the redemption amount will be par plus 13.30% if called Jan. 4, 2008, 26.60% if called Jan. 5, 2009 and 39.90% if called Jan. 4, 2010.
If the notes are not called, the payout at maturity will par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.
Issuer: | Merrill Lynch & Co., Inc.
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Issue: | Annual review senior unsecured notes
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Underlying index: | Nikkei 225
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Amount: | $2.225 million
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Maturity: | Jan. 7, 2010
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Coupon: | 0%
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Price: | Par
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Call: | Automatically called if index level is at or above the initial index level on an annual review date; payout will be par plus 13.30% if called Jan. 4, 2008, 26.60% if called Jan. 5, 2009 and 39.90% if called Jan. 4, 2010
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Payout at maturity: | Par unless the index declines by more than 10%, in which case investors will lose 1.1111% for every 1% decline in the index beyond 10%
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Initial index level: | 16,914.31
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Pricing date: | Dec. 15
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Settlement date: | Dec. 20
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Agent: | J.P. Morgan Securities Inc.
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Agent fees: | 2%
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