After executing a merge, the mergefields are converted to normal text,
displaying the data that was contained in that field in the data source.

In the case of the bookmarks, they will not survive the execution of the
merge because each bookmark must have a unique name and if the merge was
executed to a new document and the bookmarks were to be retained, there
would be mutlitple instances of bookmarks trying to assume the same name.

The following macro will "preserve" bookmarks during a MailMerge

Dim abm As Bookmark, bmrange As Range, i As Long, Result As Document, j As
Long, k As Long, linkrange As Range, linktarget As String
Dim Source As Document
Set Source = ActiveDocument
i = 1
For j = 1 To Source.MailMerge.DataSource.RecordCount
   For Each abm In ActiveDocument.Range.Bookmarks
       System.PrivateProfileString("c:\bookmarks.txt", "bookmarkNames",
"bookmark" & i) = abm.Name & Format(j)
       i = i + 1
   Next
Next j
For Each abm In ActiveDocument.Range.Bookmarks
   abm.Range.InsertBefore "#"
   abm.Range.InsertAfter "#"
Next
With ActiveDocument.MailMerge
   .Destination = wdSendToNewDocument
   .Execute
End With
Set Result = ActiveDocument
k = 1
Selection.HomeKey wdStory
Selection.Find.ClearFormatting
With Selection.Find
   Do While .Execute(FindText:="#*#", MatchWildcards:=True,
Wrap:=wdFindContinue, Forward:=True) = True
       Set bmrange = Selection.Range
       bmrange.Characters(bmrange.Characters.Count).Delete
       bmrange.Characters(1).Delete
       Result.Bookmarks.Add System.PrivateProfileString("c:\bookmarks.txt",
"bookmarkNames", "bookmark" & k), bmrange
       k = k + 1
   Loop
End With
For i = 1 To Result.Hyperlinks.Count
   linktarget = Result.Hyperlinks(i).SubAddress
   Set linkrange = Result.Hyperlinks(i).Range
   linkrange.Select
   linktarget = linktarget &
Format(Selection.Information(wdActiveEndSectionNumber))
   Result.Hyperlinks.Add Result.Hyperlinks(i).Range, "", linktarget
Next i

Source.Activate
Selection.HomeKey wdStory
Selection.Find.ClearFormatting
With Selection.Find
   Do While .Execute(FindText:="#*#", MatchWildcards:=True,
Wrap:=wdFindContinue, Forward:=True) = True
       Set bmrange = Selection.Range
       bmrange.Characters(bmrange.Characters.Count).Delete
       bmrange.Characters(1).Delete
   Loop
End With