PRICING SUPPLEMENT DATED JANUARY 21, 2004 Rule 424(b)(3)
- ----------------------------------------- File No. 333-109802
(To Prospectus Supplement and Prospectus dated November
26, 2003)
Pricing Supplement Number: 10069
Merrill Lynch & Co., Inc.
Merrill Lynch CoreNotesSM, Series B
Due Nine Months or more from Date of Issue
(the "Notes")
------------
Investing in the Notes involves risks that are described in the "Risk
Factors" section of this Pricing Supplement and the accompanying Prospectus
Supplement.
Aggregate Principal Amount................... $24,000,000
Stated Maturity Date......................... February 3, 2014
Issue Price.................................. 100% of the principal amount
Original Issue Date.......................... January 30, 2004
Interest Calculation Type.................... Floating Rate Note
Day Count Convention......................... Interest will be calculated by multiplying the principal amount of
the Notes by an interest factor. The interest factor for each day
will be computed by dividing the interest rate applicable to each
day by the actual number of days in the year.
Interest Rate Basis.......................... (2 x [(CPI(t) - CPI(t-12))/CPI(t-12)]) - Spread (as defined
below)
but will not be less than the Minimum Interest Rate of 0.00%.
where:
CPI(t) equals the value of the Consumer Price Index (as defined
herein) for the third calendar month prior to but not including
the month in which the applicable Interest Reset Date occurs, and
CPI(t-12) equals the value of the Consumer Price Index for the
fifteenth calendar month prior to but not including the month in
which the applicable Interest Reset Date occurs.
Spread....................................... 0.35%.
Spread Multiplier............................ Not Applicable.
Initial Interest Rate........................ 3.41% per annum.
Maximum Interest Rate........................ For any Interest Period, 8.80% per annum. As used herein, an
Interest Period shall be the period from and including an Interest
Reset Date to but excluding the immediately succeeding Interest
Reset Date.
Minimum Interest Rate........................ For any Interest Period, 0.00% per annum.
"CoreNotes" is a service mark of Merrill Lynch & Co., Inc.
Interest Payment Dates....................... Monthly, on the 1st day of each month commencing March 1, 2004 and
at maturity. If any Interest
Payment Date falls on a day
that is not a Business Day,
payment will be made on the
immediately succeeding
Business Day and no interest
will accrue as a result of
the delayed payment.
Interest Reset Dates......................... Monthly, on the 1st day of each month commencing March 1, 2004
regardless of whether such day is a Business Day.
Survivor's Option............................ Yes.
CUSIP Number................................. 5901M0DQ9
Form of Notes................................ Book-entry.
Denominations................................ We will issue and sell the Notes in denominations of $1,000 and
integral multiples of $1,000 in excess thereof.
Trustee...................................... JPMorgan Chase Bank
Calculation Agent............................ Merrill Lynch, Pierce, Fenner & Smith Incorporated ("MLPF&S")
All determinations made by the calculation agent will be at the
sole discretion of the calculation agent and, absent manifest
error, will be conclusive for all purposes and binding on Merrill
Lynch & Co., Inc. ("ML&Co.") and beneficial owners of the Notes.
All percentages resulting from any calculation on the Notes will
be rounded to the nearest one hundred-thousandth of a percentage
point, with five one-millionths of a percentage point rounded
upwards, e.g., 9.876545% (or .09876545) would be rounded to
9.87655% (or .0987655). All dollar amounts used in or resulting
from this calculation will be rounded to the nearest cent with
one-half cent being rounded upwards.
Proceeds to ML&Co............................ $23,640,000
Purchasing Agent............................. MLPF&S
Purchasing Agent's Discount.................. $360,000
PS-2
RISK FACTORS
Your investment in the Notes involves certain risks. In consultation with
your own financial and legal advisers, you should carefully consider, among
other matters, the following discussion of risks, as well as the risk
described in the accompanying prospectus supplement before deciding whether an
investment in the Notes is suitable for you.
Structure risks of Notes indexed to the Consumer Price Index
The interest payable on the Notes is indexed to the performance of the
Consumer Price Index over twelve month periods. As a result, the possibility
exists that you could receive little, or no, interest on a given Interest
Payment Date. The Consumer Price Index is likely to increase only slightly or
decrease over periods of deflation or little or no inflation. We have no
control over a number of matters, including economic, financial and political
events, that are important in determining the existence, magnitude and
longevity of such events and their results. In recent years, values of certain
indices such as the Consumer Price Index have been volatile and volatility may
be expected in the future. However, past experience is not necessarily
indicative of what may occur in the future.
Your yield may be lower than the yield on a standard debt security of
comparable maturity
The yield that you will receive on your Notes may be less than the return
you could earn on other investments. Your yield may be less than the yield you
would earn if you bought a standard senior non-callable debt security of
ML&Co. with the same maturity date. Your investment may not reflect the full
opportunity cost to you when you take into account factors that affect the
time value of money.
CONSUMER PRICE INDEX
The amount of interest payable on the Notes on each Interest Payment Date
will be linked to changes in the Consumer Price Index. The "Consumer Price
Index" for purposes of the Notes is the nonseasonally adjusted U.S. City
Average All Items Consumer Price Index for All Urban Consumers, published
monthly by the Bureau of Labor Statistics of the U.S. Department of Labor. The
Consumer Price Index is expressed in relative terms in relation to the
1982-1984 time base reference period for which the level of Consumer Price
Index was set at 100.0. The Consumer Price Index for any given month is
published during the following month.
The Consumer Price Index is a measure of the average change in consumer
prices over time for a fixed market basket of goods and services, including
food, clothing, shelter, fuels, transportation, charges for doctors and
dentists services, and drugs. In calculating the Consumer Price Index, price
changes for the various items are averaged together with weights that
represent their importance in the spending of urban households in the United
States. The contents of the market basket of goods and services and the
weights assigned to the various items are updated periodically by the Bureau
of Labor Statistics to take into account changes in consumer expenditure
patterns.
The value of the Consumer Price Index for any given month will be the
value reported on Bloomberg page CPURNSA or any successor service or successor
page thereto. If such value for the Consumer Price Index is not available on a
successor page or successor service such value will be determined in the sole
discretion of the Calculation Agent.
PS-3
The following table sets forth the value of the Consumer Price Index from
January 1998 to December 2003, as reported by the Bureau of Labor Statistics
and reported on Bloomberg page CPURNSA. This historical data is presented for
informational purposes only. Past movements of the Consumer Price Index is not
necessarily indicative of future values.
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
1998 1999 2000 2001 2002 2003
---- ---- ---- ---- ---- ----
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
January 161.6 164.3 168.8 175.1 177.1 181.7
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
February 161.9 164.5 169.8 175.8 177.8 183.1
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
March 162.2 165.0 171.2 176.2 178.8 184.2
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
April 162.5 166.2 171.3 176.9 179.8 183.8
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
May 162.8 166.2 171.5 177.7 179.8 183.5
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
June 163.0 166.2 172.4 178.0 179.9 183.7
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
July 163.2 166.7 172.8 177.5 180.1 183.9
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
August 163.4 167.1 172.8 177.5 180.7 184.6
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
September 163.6 167.9 173.7 178.3 181.0 185.2
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
October 164.0 168.2 174.0 177.7 181.3 185.0
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
November 164.0 168.3 174.1 177.4 181.3 184.5
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
December 163.9 168.3 174.0 176.7 180.9 184.3
- ------------------------- --------------- ----------------- --------------- -------------- ------------- -------------
To illustrate the Interest Rate Basis applicable the Notes, assuming i)
December 1, 2003 were an Interest Reset Date, ii) a Maximum Interest Rate of
8.80% and iii) a Spread of 0.35%, based on the historical information
presented in the table above, the per annum interest rate applicable to the
Notes until the next Interest Reset Date would have been 4.29%, calculated as
follows:
185.2 minus 181 = 4.2
4.2 divided by 181 = 2.32%
2.32% times 2 = 4.64%
4.64% minus 0.35% = 4.29%
In accordance with the formula used in determining the Interest Rate
Basis, the September 2003 and September 2002 values of the Consumer Price
Index were used in the calculating the above example.
UNITED STATES FEDERAL INCOME TAXATION
Under the OID Regulations (as defined in the accompanying Prospectus
Supplement), the Notes will be treated as providing for stated interest at a
single objective rate.
Prospective investors should consult the summary describing the principal
U.S. federal income tax consequences of the ownership and disposition of the
Notes contained in the section entitled "United States Federal Income
Taxation" in the accompanying Prospectus Supplement.
PS-4