PRICING SUPPLEMENT DATED NOVEMBER 19, 2004
- ------------------------------------------
(To prospectus supplement and prospectus dated November 26, 2003)
Pricing Supplement Number: 2410
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
Asian Currencies/United States Dollar Basket Notes
due November 29, 2006
(the "Notes")
$1,000 original public offering price per Note
----------
The Notes are designed for investors who believe that the value of the
New Taiwan dollar, the South Korean won, the Thai baht, the Indian Rupee, the
Chinese renminbi (yuan), the Japanese yen and the Singapore dollar relative to
the United States dollar will appreciate over the term of the Notes. The Notes
are 99% principal protected, meaning that at maturity you will receive no less
than $990 per $1,000 original public offering price of the Notes.
The Notes will be part of a series of senior debt securities entitled
"Medium-Term Notes, Series C" as more fully described in the accompanying
prospectus (which term includes the accompanying 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 Original Public
Offering Price.............. $16,000,000
Original Public Offering
Price (per Note)............ $1,000
Original Issue Date......... November 29, 2004
Stated Maturity Date........ November 29, 2006
Interest Rate............... There will be no periodic payments of interest
on the Notes prior to the Stated Maturity Date;
however, on the Stated Maturity Date you will be
entitled to receive a payment of interest on the
Notes equal to the Redemption Amount (as defined
below).
The Basket.................. The Asian Currencies/United States Dollar Basket
(the "Basket") is designed to allow investors to
participate in exchange rate movements of the
Asian currencies included in the Basket, as
reflected by changes in the United States dollar
value of the Basket, over the term of the Notes.
The currencies that will compose the Basket are
the New Taiwan dollar, the South Korean won, the
Thai baht, the Indian Rupee, the Chinese
renminbi (yuan), the Japanese yen and the
Singapore dollar (the "Asian Basket Components")
and the United States dollar. Each of these
currencies is referred to in this pricing
supplement as a "Basket Component". Each Basket
Component has been assigned a weighting as
listed in the table below. Positive weightings
in the Basket in Asian currencies can be viewed
as long positions, which could be sold for
United States dollars. The negative weighting in
the Basket in United States dollars can be
viewed as a short position, which would require
the future purchase of United States dollars to
repay that short position. Changes in the United
States dollar value of the Basket Components
that have a greater weighting will have a
greater effect on the United States dollar value
of the Basket than changes in the United States
dollar value of Basket Components that have a
lesser weighting.
The value of the Basket was set to 100 on
November 19, 2004, the date the Notes were
priced for initial sale to the public (the
"Pricing Date").
On the Pricing Date, a fixed factor (the
"Multiplier") was determined for each Basket
Component by dividing the weighting of the
Basket Component by the initial Exchange Rate
(as defined below) for the Basket Component on
that date. The Multiplier for each Basket
Component (as set forth in the table below) will
remain fixed during the term of the Notes and
can be used to calculate the value of the Basket
on any given day as described below.
As Exchange Rates move, the United States dollar
value of each Asian Basket Component in the
Basket will vary based on the appreciation or
depreciation of that Asian Basket Component. Any
appreciation in the Asian Basket Components
relative to the United States dollar (assuming
no change in the values of the other Basket
Components) will result in an increase in the
value of the Basket. Conversely, any
depreciation in the Asian Basket Components
relative to the United States dollar (assuming
no change in the values of the other Basket
Components) will result in a decrease in the
value of the Basket.
To compute the Basket value on any day, (1) the
Multiplier of each Basket Component is
multiplied by the then current Exchange Rate for
that Basket Component, (2) the resulting
products are summed and (3) the total is added
to 100.
PS-2
Initial Initial Basket
Currency Iso Code Weighting Exchange Rate Multiplier Value
-------- -------- --------- ------------- ---------- -----
United States dollar USD -100.00 1.000000 -100.000000 -100.0000
New Taiwan dollar TWD 27.00 0.030798 876.680304 27.0000
South Korean won KRW 20.00 0.000937 21344.717182 20.0000
Thai baht THB 18.00 0.024903 722.804481 18.0000
Indian rupee INR 15.00 0.022155 677.048070 15.0000
Chinese renminbi (yuan) CNY 10.00 0.120824 82.765014 10.0000
Japanese yen JPY 5.00 0.009613 520.128992 5.0000
Singapore dollar SGD 5.00 0.605914 8.251996 5.0000
- ---------------- --- ---- -------- -------- ------
Amount Payable at Maturity.. On the Stated Maturity Date, for each Note that
you own you will be entitled to receive a
payment equal to the "Redemption Amount". The
Redemption Amount to which you will be entitled
will depend on the percentage change in the
value of the Basket over the term of the Notes.
The Redemption Amount will be denominated and
payable in United Stated dollars and will be
determined by the Calculation Agent (as defined
below) as follows:
(i) If the Ending Value (as defined below) is
greater than the Starting Value (as defined
below), the Redemption Amount will equal the
$1,000 original public offering price per Note
multiplied by a percentage equal to:
99 + (Participation Rate x (Ending Value -
Starting Value)); or
(ii) If the Ending Value is equal to or less
than the Starting Value, the Redemption Amount
will equal $990.
As a result of the foregoing, the value of the
Basket will need to increase by at least 0.83%
in order for you to receive a Redemption Amount
equal to the $1,000 original public offering
price per Note. If the value of the Basket
declines or does not increase sufficiently, you
will receive less than the $1,000 original
public offering price per Note. In no event,
however, will you receive less than $990 per
Note.
Starting Value.............. The "Starting Value" was set to 100 on the
Pricing Date.
Ending Value................ The "Ending Value" will equal the value of the
Basket as determined by the Calculation Agent on
the seventh scheduled Business Day (as defined
below) before the Stated Maturity Date, using
the Exchange Rates on that date.
Participation Rate.......... The "Participation Rate" is a percentage equal
to 120%.
Exchange Rates.............. The "Exchange Rates", (i) for purposes of
determining a Basket value for the New Taiwan
dollar, the South Korean won, the Thai baht, the
Indian rupee, the Japanese yen and the Singapore
dollar, will be those currency exchange rates in
the interbank market quoted as one unit of the
relevant currency in United States dollars as
reported by Bloomberg L.P. ("Bloomberg") on page
TKC7, or any substitute page thereto, and (ii)
for purposes of determining a Basket value for
the Chinese renminbi, will be
PS-3
that currency exchange rate in the interbank
market quoted as one unit of Chinese renminbi in
United States dollars as reported by Reuters
Group PLC ("Reuters") on page SAEC, or any
substitute page thereto. For purposes of
determining the Ending Value, the Exchange Rates
will be those rates reported by Bloomberg on
page TKC7 or by Reuters on page SAEC (as
applicable), or any substitute page thereto, at
approximately 3:00 p.m., Tokyo time, for the New
Taiwan dollar, the South Korean won, the Thai
baht, the Indian rupee, the Japanese yen and the
Singapore dollar and at 5:00 p.m., Beijing time,
for the Chinese renminbi, on the relevant date.
If the currency exchange rates are not so quoted
on Bloomberg page TKC7 or on Reuters page SAEC
(as applicable), or any substitute page thereto,
then the Exchange Rates used to determine the
Ending Value will equal the noon buying rate in
New York for cable transfers in foreign
currencies as announced by the Federal Reserve
Bank of New York for customs purposes (the "Noon
Buying Rate"). If the Noon Buying Rate is not
announced on that date, then the Exchange Rates
will be calculated on the basis of the
arithmetic mean of the applicable spot
quotations received by the Calculation Agent at
approximately 10:00 a.m., New York City time, on
the relevant date for the purchase or sale for
deposits in the relevant currencies by the
London offices of three leading banks engaged in
the interbank market (selected in the sole
discretion of the Calculation Agent) (the
"Reference Banks"). If fewer than three
Reference Banks provide spot quotations, then
the Exchange Rates will be calculated on the
basis of the arithmetic mean of the applicable
spot quotations received by the Calculation
Agent at approximately 10:00 a.m., New York City
time, on the relevant date from two leading
commercial banks in New York (selected in the
sole discretion of the Calculation Agent), for
the purchase or sale for deposits in the
relevant currencies. If these spot quotations
are available from only one bank, then the
Calculation Agent, in its sole discretion, will
determine which quotation is available and
reasonable to be used. If no spot quotation is
available, then the Exchange Rates will be the
rate the Calculation Agent, in its sole
discretion, determines to be fair and reasonable
under the circumstances at approximately 10:00
a.m., New York City time, on the relevant date.
Business Day................ "Business Day" means any day other than a
Saturday or Sunday that is neither a legal
holiday nor a day on which banking institutions
in The City of New York are authorized or
required by law, regulation or executive order
to close and those banks are open for dealing in
a foreign exchange and foreign currency
deposits.
Events of Default........... In case an Event of Default with respect to any
Notes has occurred and is continuing, the amount
payable to a holder of a Note upon any
acceleration permitted by the Notes, with
respect to each $1,000 original public offering
price per Note, will be equal to the Redemption
Amount, calculated as though the date of
acceleration were the Stated Maturity Date. If a
bankruptcy proceeding is commenced in respect of
ML&Co., the claim of the holder of a Note may be
limited, under Section 502(b)(2) of Title 11 of
the United States Code, to the $1,000 original
public offering price per Note plus an
additional amount of contingent interest
calculated as though the date of the
commencement of the proceeding
PS-4
were the Stated Maturity Date.
In case of default in payment of the Notes,
whether on the Stated Maturity Date or upon
acceleration, from and after that date the Notes
will bear interest, payable upon demand of their
holders, at the rate of 2.0% per annum, to the
extent that payment of any interest is legally
enforceable, on the unpaid amount due and
payable on that date in accordance with the
terms of the Notes to the date payment of that
amount has been made or duly provided for.
Optional Redemption......... None
CUSIP number................ 59018YUY5
Form of Notes............... Book-entry
Denominations............... We will issue and sell the Notes in
denominations of $100,000 and integral multiples
of $1,000 in excess thereof.
Trustee..................... JPMorgan Chase Bank, N.A.
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 a determination of
a manifest error, will be conclusive for all
purposes and binding on ML&Co. and the holders
and beneficial owners of the Notes.
Underwriting Discount....... 0.5% of the Aggregate Original Public Offering
Price
Proceeds to ML&Co........... 99.5% of the Aggregate Original Public Offering
Price
PS-5
RISK FACTORS
Your investment in the Notes will involve certain risks. You should
consider carefully the following discussion of risks before you decide that an
investment in the Notes is suitable for you.
Your investment may result in a loss
We will not repay you a fixed amount of principal on the Notes on the
maturity date. The Redemption Amount will depend on the change in the value of
the Basket. Because the value of the Basket is subject to market fluctuations,
the Redemption Amount you receive on the maturity date may be more or less
than the $1,000 original public offering price per Note. If the Ending Value
is less than or equal to the Starting Value, the Redemption Amount will be
less than the $1,000 original public offering price per Note. As a result, you
may lose some of your investment in the Notes. Even if the Ending Value is
greater than the Starting Value, the increase in the value of the Basket may
not be sufficient for the Redemption amount to exceed the $1,000 original
public offering price per Note. The Redemption Amount you receive on the
maturity date will, however, never be less than $990 per Note.
You must rely on your own evaluation of the merits of an investment linked to
the Basket
In the ordinary course of their businesses, affiliates of ML&Co. from
time to time express views on expected movements in foreign currency exchange
rates. These views are sometimes communicated to clients who participate in
foreign exchange markets. However, these views, depending upon world-wide
economic, political and other developments, may vary over differing
time-horizons and are subject to change. Moreover, other professionals who
deal in foreign currencies may at any time have significantly different views
from those of our affiliates. For reasons such as these, we believe that most
investors in foreign exchange markets derive information concerning those
markets from multiple sources. In connection with your purchase of the Notes,
you should investigate the foreign exchange markets and not rely on views
which may be expressed by our affiliates in the ordinary course of their
businesses with respect to future exchange rate movements.
You should make such investigation as you deem appropriate as to the
merits of an investment linked to the Basket. Neither the offering of the
Notes nor any views which may from time to time be expressed by our affiliates
in the ordinary course of their businesses with respect to future exchange
rate movements constitutes a recommendation as to the merits of an investment
in the Notes.
The exchange rate of the Chinese renminbi is currently managed by the Chinese
government
The Ministry of Finance of the government of China made the following
disclosure in October 2003: "Since January 1, 1994, the government has used a
unitary managed floating rate system. Under this system, the People's Bank of
China publishes a daily base exchange rate... Authorized banks and financial
institutions are allowed to quote, buy and sell rates for renminbi within a
specified band around the central bank's daily exchange rate." The renminbi
also is not fully convertible into other currencies. As a consequence of the
government's management of the renminbi, the United States dollar/renminbi
exchange rate has remained highly stable in recent years. For example, the
noon buying rates in The City of New York on the last business days of 1998,
2000 and 2002 were 8.2789, 8.2774 and 8.2800, respectively. The current United
States dollar/renminbi exchange rate is substantially unchanged from these
values. If the renminbi continues to be managed as it has been since at least
January 1, 1994, its price movements are unlikely to contribute significantly
to either an increase or decrease in the value of the Basket. Additionally, if
the management of the renminbi has resulted in its trading at levels that do
not fully reflect market forces, a change in the Chinese government's
management of the renminbi could result in a significant movement in the
United States dollar/renminbi exchange rate. Assuming the value of all other
Basket Components remain constant, a decrease in the value of the renminbi,
whether as a result of a change in the government's management of the currency
or for other reasons, would result in a decrease in the value of the Basket.
PS-6
A trading market for the Notes is not expected to develop
The Notes will not be listed on any securities exchange and we do not
expect a trading market for the Notes to develop. Although our affiliate
MLPF&S has indicated that it expects to bid for Notes offered for sale to it
by holders of the Notes, it is not required to do so and may cease making
those bids at any time. In addition, while we describe in this pricing
supplement how you can calculate the value of the Basket from publicly
available information, we will not publish the value of the Basket over the
term of the Notes and this may limit the trading market for the Notes. The
limited trading market for your Notes may affect the price that you receive
for your Notes if you do not wish to hold your investment until the Stated
Maturity Date.
Potential conflicts of interest could arise
Our subsidiary Merrill Lynch Capital Services, Inc. is our agent for the
purposes of calculating, among other things, the Ending Value and the
Redemption Amount. Under certain circumstances, the role of Merrill Lynch
Capital Services, Inc. as our subsidiary and its responsibilities as
Calculation Agent for the Notes could give rise to conflicts of interest.
These conflicts could occur, for instance, in connection with its
determination as to whether the value of the Basket can be obtained on a
particular trading day, or in connection with judgments that it would be
required to make in the event the value of the Basket is unavailable. Merrill
Lynch Capital Services, Inc. is required to carry out its duties as
Calculation Agent in good faith and using its reasonable judgment. However,
because we control Merrill Lynch Capital Services, Inc., potential conflicts
of interest could arise.
We have entered into an arrangement with one of our subsidiaries to hedge
the market risks associated with our obligation to pay the Redemption Amount.
This subsidiary expects to make a profit in connection with this arrangement.
We did not seek competitive bids for this arrangement from unaffiliated
parties.
Tax consequences
You should consider the tax consequences of investing in the Notes. See
the section entitled "United States Federal Income Taxation" in this pricing
supplement.
PS-7
UNITED STATES FEDERAL INCOME TAXATION
Set forth in full below is the opinion of Sidley Austin Brown & Wood LLP,
tax counsel to ML&Co., as to certain United States federal income tax
consequences of the purchase, ownership and disposition of the Notes. This
opinion is based upon laws, regulations, rulings and decisions now in effect,
all of which are subject to change (including retroactive changes in effective
dates) or possible differing interpretations. The discussion below deals only
with Notes held as capital assets and does not purport to deal with persons in
special tax situations, such as financial institutions, insurance companies,
regulated investment companies, dealers in securities or currencies, traders
in securities that elect to mark to market, tax-exempt entities, persons
holding Notes in a tax-deferred or tax-advantaged account, U.S. Holders (as
defined below) whose functional currency is not the United States dollar,
persons subject to the alternative minimum tax, or persons holding Notes as a
hedge against currency risks, as a position in a "straddle" or as part of a
"hedging", "conversion" or "integrated" transaction for tax purposes. It also
does not deal with holders other than original purchasers (except where
otherwise specifically noted in this pricing supplement). The following
discussion also assumes that the issue price of the Notes, as determined for
United States federal income tax purposes, equals the principal amount
thereof. Persons considering the purchase of the Notes should consult their
own tax advisors concerning the application of the United States federal
income tax laws to their particular situations as well as any consequences of
the purchase, ownership and disposition of the Notes arising under the laws of
any other taxing jurisdiction.
As used in this pricing supplement, the term "U.S. Holder" means a
beneficial owner of a Note that is for United States federal income tax
purposes (a) a citizen or resident of the United States, (b) a corporation,
partnership or other entity treated as a corporation or a partnership that is
created or organized in or under the laws of the United States, any state
thereof or the District of Columbia (other than a partnership that is not
treated as a United States person under any applicable Treasury regulations),
(c) an estate the income of which is subject to United States federal income
taxation regardless of its source, (d) a trust if a court within the United
States is able to exercise primary supervision over the administration of the
trust and one or more United States persons have the authority to control all
substantial decisions of the trust or (e) any other person whose income or
gain in respect of a Note is effectively connected with the conduct of a
United States trade or business. Notwithstanding clause (d) of the preceding
sentence, to the extent provided in Treasury regulations, certain trusts in
existence on August 20, 1996, and treated as United States persons prior to
that date that elect to continue to be treated as United States persons also
will be U.S. Holders. As used herein, the term "non-U.S. Holder" means a
beneficial owner of a Note that is not a U.S. Holder.
General
There are no statutory provisions, regulations, published rulings or
judicial decisions addressing or involving the characterization, for United
States federal income tax purposes, of the Notes or securities with terms
substantially the same as the Notes. However, although the matter is not free
from doubt, under current law, each Note should be treated as a debt
instrument of ML&Co. for United States federal income tax purposes. ML&Co.
currently intends to treat each Note as a debt instrument of ML&Co. for United
States federal income tax purposes and, where required, intends to file
information returns with the Internal Revenue Service (the "IRS") in
accordance with this treatment, in the absence of any change or clarification
in the law, by regulation or otherwise, requiring a different characterization
of the Notes. Prospective investors in the Notes should be aware, however,
that the IRS is not bound by ML&Co.'s characterization of the Notes as
indebtedness, and the IRS could possibly take a different position as to the
proper characterization of the Notes for United States federal income tax
purposes. The following discussion of the principal United States federal
income tax consequences of the purchase, ownership and disposition of the
Notes is based upon the assumption that each Note will be treated as a debt
instrument of ML&Co. for United States federal income tax purposes. If the
Notes are not in fact treated as debt instruments of ML&Co. for United States
federal income tax purposes, then the United States federal income tax
treatment of the purchase, ownership and disposition of the Notes could differ
from the treatment discussed below with the result that the timing and
character of income, gain or loss recognized in respect of a Note could differ
from the timing and character of income, gain or loss recognized in respect of
a Note had the Notes in fact been treated as debt instruments of ML&Co. for
United States federal income tax purposes.
PS-8
U.S. Holders
On August 30, 2004, the Treasury Department issued final regulations (the
"Foreign Currency Regulations") under section 988 of the Internal Revenue Code
of 1986, as amended (the "Code") addressing the United States federal income
tax treatment of debt instruments having terms similar to the Notes. The
Foreign Currency Regulations apply to debt instruments issued on or after
October 29, 2004, and accordingly, will apply to the Notes. In general, under
the Foreign Currency Regulations, since the amount payable at maturity with
respect to a Note in excess of the principal amount of the Note, if any, will
be determined by reference to the value of the Basket while repayment of 99%
of the $1,000 original public offering price of each Note will not be affected
by changes in the value of the Basket, the Notes will be taxed pursuant to the
rules contained in certain final Treasury regulations (the "CPDI Regulations")
addressing the proper United States federal income tax treatment of contingent
payment debt instruments. The CPDI Regulations generally require a U.S. Holder
of this type of an instrument to include future contingent and noncontingent
interest payments in income as that interest accrues based upon a projected
payment schedule. Moreover, in general, under the CPDI Regulations, any gain
recognized by a U.S. Holder on the sale, exchange, or retirement of a
contingent payment debt instrument is treated as ordinary income, and all or a
portion of any loss realized could be treated as ordinary loss as opposed to
capital loss (depending upon the circumstances).
In particular, solely for purposes of applying the CPDI Regulations to
the Notes, ML&Co. has determined that the projected payment schedule for the
Notes will consist of a projected cash payment on the Stated Maturity Date of
an amount equal to $1,058.51 per Note (the "Projected Redemption Amount").
This represents an estimated yield on the Notes equal to 2.87% per annum,
compounded semiannually. Accordingly, during the term of the Notes, a U.S.
Holder of a Note will be required to include in income as ordinary interest an
amount equal to the sum of the daily portions of interest on the Note that are
deemed to accrue at this estimated yield for each day during the taxable year
(or portion of the taxable year) on which the U.S. Holder holds the Note. The
amount of interest that will be deemed to accrue in any accrual period (i.e.,
generally each six-month period during which the Notes are outstanding) will
equal the product of this estimated yield (properly adjusted for the length of
the accrual period) and the Note's adjusted issue price (as defined below) at
the beginning of the accrual period. The daily portions of interest will be
determined by allocating to each day in the accrual period the ratable portion
of the interest that is deemed to accrue during the accrual period. In
general, for these purposes a Note's adjusted issue price will equal the
Note's issue price (i.e., $1,000), increased by the interest previously
accrued on the Note. On the Stated Maturity Date of a Note, in the event that
the actual cash payment on the Stated Maturity Date (the "Actual Redemption
Amount") exceeds $1,058.51 per Note (i.e., the Projected Redemption Amount), a
U.S. Holder will be required to include the excess of the Actual Redemption
Amount over $1,058.51 per Note (i.e., the Projected Redemption Amount) in
income as ordinary interest on the Stated Maturity Date. Alternatively, in the
event that the Actual Redemption Amount, if any, is less than $1,058.51 per
Note (i.e., the Projected Redemption Amount), the amount by which the
Projected Redemption Amount (i.e., $1,058.51 per Note) exceeds the Actual
Redemption Amount will be treated first as an offset to any interest otherwise
includible in income by the U.S. Holder with respect to the Note for the
taxable year in which the Stated Maturity Date occurs to the extent of the
amount of that includible interest. Any remaining portion of the Projected
Redemption Amount (i.e., $1,058.51 per Note) in excess of the Actual
Redemption Amount that is not treated as an interest offset pursuant to the
foregoing rules generally will be an ordinary loss to the extent of interest
previously included in income and, thereafter, capital loss. Any such capital
loss generally will be treated as long-term or short-term capital loss
(depending upon the U.S. Holder's holding period for the Note). In addition,
U.S. Holders purchasing a Note at a price that differs from the adjusted issue
price of the Note as of the purchase date (e.g., subsequent purchasers) will
be subject to rules providing for certain adjustments to the foregoing rules
and these U.S. Holders should consult their own tax advisors concerning these
rules.
Upon the sale or exchange of a Note prior to the Stated Maturity Date, a
U.S. Holder would be required to recognize taxable gain or loss in an amount
equal to the difference, if any, between the amount realized by the U.S.
Holder upon that sale or exchange and the U.S. Holder's adjusted tax basis in
the Note as of the date of disposition. A U.S. Holder's adjusted tax basis in
a Note generally would equal the U.S. Holder's initial investment in the Note
increased by any interest previously included in income with respect to the
Note by the U.S. Holder. Any taxable gain would be treated as ordinary income.
Any taxable loss would be treated as ordinary loss to the
PS-9
extent of the U.S. Holder's total interest inclusions on the Note. Any
remaining loss generally would be treated as long-term or short-term capital
loss (depending upon the U.S. Holder's holding period for the Note). All
amounts includible in income by a U.S. Holder as ordinary interest pursuant to
the CPDI Regulations would be treated as original issue discount.
All prospective investors in the Notes should consult their own tax
advisors concerning the application of the CPDI Regulations to their
investment in the Notes. Investors in the Notes are able to obtain the
projected payment schedule, as determined by ML&Co. for purposes of applying
the CPDI Regulations to the Notes, by submitting a written request for that
information to Merrill Lynch & Co., Inc., Corporate Secretary's Office, 222
Broadway, 17th Floor, New York, New York 10038, (212) 670-0432,
corporatesecretary@exchange.ml.com.
The projected payment schedule (including both the Projected Redemption
Amount and the estimated yield on the Notes) has been determined solely for
United States federal income tax purposes (i.e., for purposes of applying the
CPDI Regulations to the Notes), and is neither a prediction nor a guarantee of
what the actual Redemption Amount will be, or that the actual Redemption
Amount will even exceed $990.00 per Note.
The following table sets forth the amount of interest that will be deemed
to have accrued with respect to each $1,000 original public offering price per
Note during each accrual period over the term of the Notes based upon the
projected payment schedule for the Notes (including both the Projected
Redemption Amount and an estimated yield equal to 2.87% per annum (compounded
semiannually)) as determined by ML&Co. for purposes of applying the CPDI
Regulations to the Notes.
Total interest
deemed to have
Interest deemed accrued on Notes
to accrue during as of end of
accrual period accrual period
Accrual Period (per Note) (per Note)
- -------------- ---------- ----------
November 29, 2004 through May 29, 2005......... $14.23 $14.23
May 30, 2005 through November 29, 2005......... $14.55 $28.78
November 30, 2005 through May 29, 2006......... $14.76 $43.54
May 30, 2006 through November 29, 2006......... $14.97 $58.51
- ---------------------------
Projected Redemption Amount = $1,058.51 per Note.
Non-U.S. Holders
A non-U.S. Holder will not be subject to United States federal income
taxes on payments of principal, premium (if any) or interest (including
original issue discount, if any) on a Note, unless the non-U.S. Holder is a
direct or indirect 10% or greater shareholder of ML&Co., a controlled foreign
corporation related to ML&Co. or a bank receiving interest described in
section 881(c)(3)(A) of the Code. However, income allocable to non-U.S.
Holders will generally be subject to annual tax reporting on IRS Form 1042-S.
For a non-U.S. Holder to qualify for the exemption from taxation, any person,
U.S. or foreign, that has control, receipt or custody of an amount subject to
withholding, or who can disburse or make payments of an amount subject to
withholding (the "Withholding Agent") must have received a statement that (a)
is signed by the beneficial owner of the Note under penalties of perjury, (b)
certifies that the owner is a non-U.S. Holder and (c) provides the name and
address of the beneficial owner. The statement may generally be made on IRS
Form W-8BEN (or other applicable form) or a substantially similar form, and
the beneficial owner must inform the Withholding Agent of any change in the
information on the statement within 30 days of that change by filing a new IRS
Form W-8BEN (or other applicable form). Generally, an IRS Form W-8BEN provided
without a U.S. taxpayer identification number will remain in effect for a
period starting on the date the form is signed and ending on the last day of
the third succeeding calendar year, unless a change in circumstances makes any
information on the form incorrect. If a Note is held through a securities
clearing organization or certain other financial institutions, the
organization or institution may provide a signed statement to the Withholding
Agent. Under certain circumstances, the signed statement must be
PS-10
accompanied by a copy of the applicable IRS Form W-8BEN (or other applicable
form) or the substitute form provided by the beneficial owner to the
organization or institution.
Under current law, a Note will not be includible in the estate of a
non-U.S. Holder unless the individual is a direct or indirect 10% or greater
shareholder of ML&Co. or, at the time of the individual's death, payments in
respect of that Note would have been effectively connected with the conduct by
the individual of a trade or business in the United States.
Backup Withholding
Backup withholding at the applicable statutory rate of United States
federal income tax may apply to payments made in respect of the Notes to
registered owners who are not "exempt recipients" and who fail to provide
certain identifying information (such as the registered owner's taxpayer
identification number) in the required manner. Generally, individuals are not
exempt recipients, whereas corporations and certain other entities generally
are exempt recipients. Payments made in respect of the Notes to a U.S. Holder
must be reported to the IRS, unless the U.S. Holder is an exempt recipient or
establishes an exemption. Compliance with the identification procedures
described in the preceding section would establish an exemption from backup
withholding for those non-U.S. Holders who are not exempt recipients.
In addition, upon the sale of a Note to (or through) a broker, the broker
must withhold on the entire purchase price, unless either (a) the broker
determines that the seller is a corporation or other exempt recipient or (b)
the seller provides, in the required manner, certain identifying information
(e.g., an IRS Form W-9) and, in the case of a non-U.S. Holder, certifies that
the seller is a non-U.S. Holder (and certain other conditions are met). This
type of a sale must also be reported by the broker to the IRS, unless either
(a) the broker determines that the seller is an exempt recipient or (b) the
seller certifies its non-U.S. status (and certain other conditions are met).
Certification of the registered owner's non-U.S. status would be made normally
on an IRS Form W-8BEN (or other applicable form) under penalties of perjury,
although in certain cases it may be possible to submit other documentary
evidence.
Any amounts withheld under the backup withholding rules from a payment to
a beneficial owner would be allowed as a refund or a credit against the
beneficial owner's United States federal income tax provided the required
information is furnished to the IRS.
PS-11
ERISA CONSIDERATIONS
Each fiduciary of a pension, profit-sharing or other employee benefit
plan (a "plan") subject to the Employee Retirement Income Security Act of
1974, as amended ("ERISA"), should consider the fiduciary standards of ERISA
in the context of the plan's particular circumstances before authorizing an
investment in the Notes. Accordingly, among other factors, the fiduciary
should consider whether the investment would satisfy the prudence and
diversification requirements of ERISA and would be consistent with the
documents and instruments governing the plan, and whether the investment would
involve a prohibited transaction under Section 406 of ERISA or Section 4975 of
the Code.
Section 406 of ERISA and Section 4975 of the Code prohibit plans, as well
as individual retirement accounts and Keogh plans subject to Section 4975 of
the Code (also "plans") from engaging in certain transactions involving "plan
assets" with persons who are "parties in interest" under ERISA or
"disqualified persons" under the Code ("parties in interest") with respect to
the plan or account. A violation of these prohibited transaction rules may
result in civil penalties or other liabilities under ERISA and/or an excise
tax under Section 4975 of the Code for those persons, unless exemptive relief
is available under an applicable statutory, regulatory or administrative
exemption. Certain employee benefit plans and arrangements including those
that are governmental plans (as defined in section 3(32) of ERISA), certain
church plans (as defined in Section 3(33) of ERISA) and foreign plans (as
described in Section 4(b)(4) of ERISA) ("non-ERISA arrangements") are not
subject to the requirements of ERISA or Section 4975 of the Code but may be
subject to similar provisions under applicable federal, state, local, foreign
or other regulations, rules or laws ("similar laws").
The acquisition of the Notes by a plan with respect to which we, MLPF&S
or certain of our affiliates is or becomes a party in interest may constitute
or result in prohibited transaction under ERISA or Section 4975 of the Code,
unless those Notes are acquired pursuant to and in accordance with an
applicable exemption. The U.S. Department of Labor has issued five prohibited
transaction class exemptions, or "PTCEs", that may provide exemptive relief if
required for direct or indirect prohibited transactions that may arise from
the purchase or holding of the Notes. These exemptions are:
(1) PTCE 84-14, an exemption for certain transactions determined or
effected by independent qualified professional asset managers;
(2) PTCE 90-1, an exemption for certain transactions involving
insurance company pooled separate accounts;
(3) PTCE 91-38, an exemption for certain transactions involving bank
collective investment funds;
(4) PTCE 95-60, an exemption for transactions involving certain
insurance company general accounts; and
(5) PTCE 96-23, an exemption for plan asset transactions managed by
in-house asset managers.
The Notes may not be purchased or held by (1) any plan, (2) any entity
whose underlying assets include "plan assets" by reason of any plan's
investment in the entity (a "plan asset entity") or (3) any person investing
"plan assets" of any plan, unless in each case the purchaser or holder is
eligible for the exemptive relief available under one or more of the PTCEs
listed above or another applicable similar exemption. Any purchaser or holder
of the Notes or any interest in the Notes will be deemed to have represented
by its purchase and holding of the Notes that it either (1) is not a plan or a
plan asset entity and is not purchasing those Notes on behalf of or with "plan
assets" of any plan or plan asset entity or (2) with respect to the purchase
or holding, is eligible for the exemptive relief available under any of the
PTCEs listed above or another applicable exemption. In addition, any purchaser
or holder of the Notes or any interest in the Notes which is a non-ERISA
arrangement will be deemed to have represented by its purchase and holding of
the Notes that its purchase and holding will not violate the provisions of any
similar law.
PS-12
Due to the complexity of these rules and the penalties that may be
imposed upon persons involved in non-exempt prohibited transactions, it is
important that fiduciaries or other persons considering purchasing the Notes
on behalf of or with "plan assets" of any plan, plan asset entity or non-ERISA
arrangement consult with their counsel regarding the availability of exemptive
relief under any of the PTCEs listed above or any other applicable exemption,
or the potential consequences of any purchase or holding under similar laws,
as applicable.
USE OF PROCEEDS AND HEDGING
The net proceeds from the sale of the Notes will be used as described
under "Use of Proceeds" in the accompanying prospectus and to hedge market
risks of ML&Co. associated with its obligation to pay the Redemption Amount.
SUPPLEMENTAL PLAN OF DISTRIBUTION
MLPF&S has advised ML&Co. that it proposes initially to offer all or part
of the Notes directly to the public on a fixed price basis at the offering
price set forth above. After the initial public offering, the public offering
price may be changed. The obligations of MLPF&S are subject to certain
conditions and it is committed to take and pay for all of the Notes if any are
taken.
PS-13
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[OBJECT OMITTED]
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
Asian Currencies/United States Dollar Basket Notes
due November 29, 2006
(the "Notes")
$1,000 original public offering price per Note
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PRICING SUPPLEMENT
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Merrill Lynch & Co.
November 19, 2004
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