PRICING SUPPLEMENT DATED FEBRUARY 19, 2004 Rule 424(b)(3)
- ------------------------------------------ File No. 333-109802
(To Prospectus Supplement and Prospectus dated
November 26, 2003)
Pricing Supplement Number: 2363
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
Due Nine Months or more from Date of Issue
(the "Notes")
____________
The Notes are part of a series of senior debt securities entitled
"Medium-Term Notes, Series C" as more fully described in the attached
Prospectus (which term includes the attached Prospectus Supplement).
Information included in this Pricing Supplement supercedes information in the
Prospectus to the extent it is different from the information included in the
Prospectus.
References in this Pricing Supplement to "ML&Co.", "we", "us" and
"our" are to Merrill Lynch &Co., Inc., and references to "MLPF&S" are to
Merrill Lynch, Pierce, Fenner & Smith Incorporated.
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................... $180,000,000.
Stated Maturity Date......................... March 2, 2009.
Issue Price.................................. $1,000 per Note.
Original Issue Date.......................... February 26, 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.......................... [(CPI(t) - CPI(t-12))/CPI(t-12)]+ 1.16%
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 Multiplier............................ Not Applicable.
Initial Interest Rate........................ 3.04% per annum.
Maximum Interest Rate........................ None.
Minimum Interest Rate........................ For any Interest Period, 0.00% per annum.
Interest Payment Dates....................... Monthly, on the 1st day of each month, commencing April 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 April 1, 2004. If
any Interest Reset Date is not a Business Day, the applicable
Interest Reset Date will be postponed to the next succeeding day
that is a Business Day.
CUSIP Number................................. 59018YTA9
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 Capital Services, Inc.
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............................ 99.5% of the aggregate principal amount
Underwriter.................................. Merrill Lynch, Pierce, Fenner & Smith Incorporated
Underwriting Discount........................ 0.5% of the aggregate principal amount
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 January 2004, 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 2004
- -------------------- --------------- -------------- ------------ ---------------- ------------ ----------- -----------
January 161.6 164.3 168.8 175.1 177.1 181.7 185.2
- -------------------- --------------- -------------- ------------ ---------------- ------------ ----------- -----------
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
February 1, 2004 were an Interest Reset Date, 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
2.93%, calculated as follows:
184.5 minus 181.3 = 3.2
3.2 divided by 181.3 = 1.77%
1.77% plus 1.16% = 2.93%
In accordance with the formula used in determining the Interest Rate
Basis, the November 2003 and November 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