Merrill Lynch to sell strategic return notes linked to Value 30

By Jennifer Chiou

New York, June 23 - Merrill Lynch & Co. said it plans to price 0% strategic return medium-term series C notes due July 2011 linked to the Value 30 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 $9.90 multiplied by the return on the index. In addition, the index level will be reduced by a 1.5% adjustment factor annually, reducing the return by 7.23% over the life of the notes. To receive at least par, the index level must increase by about 1%.

Holders can exchange the notes ahead of maturity during a period in June of each year.

The notes are expected to settle in July.

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

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