Merrill Lynch to price $10 million 0% Mitts linked to S&P 500

By Jennifer Chiou

New York, Feb. 7 - Merrill Lynch & Co. said it plans to price $10 million of 0% Market Index Target-Term Securities (Mitts) senior medium-term notes due March 2010 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.

The notes will be priced at par of $10.00.

Payout at maturity will be based on the performance of the index. If the ending level of the index is greater than the initial level, holders will receive a return based on the gain on the S&P 500 index. If the final index level is less than the initial level, investors will receive par.

The notes will become callable in March 2009 for an annual yield of between 8% and 8.75%, the exact level to be set at pricing.

Merrill Lynch said it applied to have the securities listed as "PDO" on the American Stock Exchange.

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