PRICING SUPPLEMENT
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(To prospectus supplement and prospectus dated February 25, 2005)
Pricing Supplement Number: 2519
[GRAPHIC OMITTED]
10,000,000 Units
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
100% Protected Multi Currency Basket Notes
due April 10, 2008
(the "Notes")
$10 principal amount per unit
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The Notes: Payment on the maturity date:
o The Notes are designed for investors who believe that o The amount you receive on the maturity date per unit
the value of the Chinese renminbi (yuan), the Indian will be based upon the direction of and percentage
rupee and the Russian ruble will appreciate relative change in the value of the Multi Currency Basket over
to the United States dollar over the term of the the term of the Notes. If the value of the Multi
Notes. Currency Basket:
o 100% principal protection on the maturity date. o has increased, you will receive the $10
principal amount per unit plus a supplemental
o There will be no payments prior to the maturity date redemption amount of $10 multiplied by 181% of
and we cannot redeem the Notes prior to the maturity the percentage increase; or
date.
o has decreased or has not increased, you will
o The Notes will not be listed on any securities receive the $10 principal amount per unit.
exchange.
o The Notes will be senior unsecured debt securities of
Merrill Lynch & Co., Inc., denominated and payable in
United States dollars, and part of a series entitled
"Medium-Term Notes, Series C". The Notes will have the
CUSIP No. 59021V458.
o The settlement date for the Notes is expected to be
April 5, 2006.
Information included in this pricing supplement supersedes information
in the accompanying prospectus supplement and prospectus to the extent that it
is different from that information.
Investing in the Notes involves risks that are described in the "Risk
Factors" sections beginning on page PS-7 of this pricing supplement and on
page S-3 in the accompanying prospectus supplement.
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Per Unit Total
Public offering price (1).................................... $10.00 $100,000,000
Underwriting discount........................................ $.20 $2,000,000
Proceeds, before expenses, to Merrill Lynch & Co., Inc....... $9.80 $98,000,000
(1) The public offering price and the underwriting discount for any
single transaction to purchase 100,000 to 299,999 units will be
$9.95 per unit and $.15 per unit, respectively, for any single
transaction to purchase between 300,000 to 499,999 units will be
$9.90 per unit and $.10 per unit, respectively, and for any single
transaction to purchase 500,000 units or more will be $9.85 per
unit and $.05 per unit, respectively.
Neither the Securities and Exchange Commission nor any state
securities commission has approved or disapproved of these securities or
determined if this pricing supplement or the accompanying prospectus
supplement and prospectus is truthful or complete. Any representation to the
contrary is a criminal offense.
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Merrill Lynch & Co.
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The date of this pricing supplement is March 30, 2006.
TABLE OF CONTENTS
Pricing Supplement
Page
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SUMMARY INFORMATION--Q&A ...................................................................... PS-3
RISK FACTORS ................................................................................. PS-7
DESCRIPTION OF THE NOTES ..................................................................... PS-11
THE BASKET ................................................................................... PS-13
UNITED STATES FEDERAL INCOME TAXATION ........................................................ PS-16
ERISA CONSIDERATIONS ......................................................................... PS-20
USE OF PROCEEDS AND HEDGING .................................................................. PS-21
SUPPLEMENTAL PLAN OF DISTRIBUTION ............................................................ PS-21
EXPERTS ...................................................................................... PS-21
INDEX OF CERTAIN DEFINED TERMS ............................................................... PS-22
Prospectus Supplement
Page
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RISK FACTORS ................................................................................. S-3
DESCRIPTION OF THE NOTES ..................................................................... S-4
UNITED STATES FEDERAL INCOME TAXATION ........................................................ S-21
PLAN OF DISTRIBUTION ......................................................................... S-28
VALIDITY OF THE NOTES ........................................................................ S-29
Prospectus
Page
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MERRILL LYNCH & CO., INC. .................................................................... 2
USE OF PROCEEDS .............................................................................. 2
RATIO OF EARNINGS TO FIXED CHARGES AND RATIO OF EARNINGS TO COMBINED FIXED
CHARGES AND PREFERRED STOCK DIVIDENDS ..................................................... 3
THE SECURITIES ............................................................................... 3
DESCRIPTION OF DEBT SECURITIES ............................................................... 4
DESCRIPTION OF DEBT WARRANTS ................................................................. 15
DESCRIPTION OF CURRENCY WARRANTS ............................................................. 17
DESCRIPTION OF INDEX WARRANTS ................................................................ 18
DESCRIPTION OF PREFERRED STOCK ............................................................... 24
DESCRIPTION OF DEPOSITARY SHARES ............................................................. 29
DESCRIPTION OF PREFERRED STOCK WARRANTS ...................................................... 33
DESCRIPTION OF COMMON STOCK .................................................................. 35
DESCRIPTION OF COMMON STOCK WARRANTS ......................................................... 38
PLAN OF DISTRIBUTION ......................................................................... 41
WHERE YOU CAN FIND MORE INFORMATION .......................................................... 42
INCORPORATION OF INFORMATION WE FILE WITH THE SEC ............................................ 42
EXPERTS ...................................................................................... 43
PS-2
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SUMMARY INFORMATION--Q&A
This summary includes questions and answers that highlight selected
information from this pricing supplement and the accompanying prospectus
supplement and prospectus to help you understand the 100% Protected Multi
Currency Basket Notes due April 10, 2008 (the "Notes"). You should carefully
read this pricing supplement and the accompanying prospectus supplement and
prospectus to fully understand the terms of the Notes, the Multi Currency
Basket (the "Basket") and the tax and other considerations that are important
to you in making a decision about whether to invest in the Notes. You should
carefully review the "Risk Factors" section in this pricing supplement and the
accompanying prospectus supplement, which highlights certain risks associated
with an investment in the Notes, to determine whether an investment in the
Notes is appropriate for you.
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.
What are the Notes?
The Notes will be part of a series of senior debt securities issued by
ML&Co. entitled "Medium-Term Notes, Series C" and will not be secured by
collateral. The Notes will rank equally with all of our other unsecured and
unsubordinated debt. The Notes will mature on April 10, 2008. We cannot redeem
the Notes at an earlier date. We will not make any payments on the Notes until
the maturity date.
Each unit will represent a single Note with a $10 principal amount. You
may transfer the Notes only in whole units. You will not have the right to
receive physical certificates evidencing your ownership except under limited
circumstances. Instead, we will issue the Notes in the form of a global
certificate, which will be held by The Depository Trust Company, also known as
DTC, or its nominee. Direct and indirect participants in DTC will record your
ownership of the Notes. You should refer to the section entitled "Description
of the Debt Securities--Depositary" in the accompanying prospectus.
Are there any risks associated with my investment?
Yes, an investment in the Notes is subject to risks. Please refer to the
section entitled "Risk Factors" in this pricing supplement and the
accompanying prospectus supplement.
Who determines the value of the Basket and what does the Basket reflect?
Merrill Lynch Capital Services, Inc., as calculation agent (the
"Calculation Agent"), will determine the value of the Basket as described in
the section entitled "The Basket" in this pricing supplement. The Basket is
designed to allow investors to participate in exchange rate movements of the
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 compose the Basket are the United States dollar, the Chinese renminbi
(yuan), the Indian rupee and the Russian ruble. Each of these currencies is
referred to in this pricing supplement as a "Basket Component". Each Basket
Component has been assigned an initial weighting. The weightings are set forth
in the section entitled "The Basket" in this pricing supplement. Those
currencies with positive weightings in the Basket can be viewed as a long
position in the Chinese renminbi (yuan), the Indian rupee and the Russian
ruble (collectively the "Long Basket Components"). The currency with a
negative weighting in the Basket can be viewed as a short position in the
United States dollar (the "Short Basket Component"). The value of the Basket
was set to 100 on March 30, 2006, the date the Notes were priced for initial
sale to the public (the "Pricing Date").
In addition, a fixed factor (the "Multiplier") was determined on the
Pricing Date for each Basket Component by dividing the weighting of each
Basket Component by the United States dollar value of that Basket Component on
the Pricing Date. The Multiplier can be used to calculate the value of the
Basket on any given day by multiplying the Multiplier for each Basket
Component by the then current exchange rate for that Basket Component, summing
the resulting products and adding 100 to the total. For a list of hypothetical
Multipliers for each Basket Component and examples of Basket value
computations, please see the section entitled "The Basket" in this pricing
supplement.
How has the Basket performed historically?
The Basket did not exist until the Pricing Date. We have, however,
included a table and a graph showing hypothetical historical month-end values
of the Basket from January 2001 through February 2006 based upon historical
exchange rates, the Multiplier of each Basket Component and a Basket value of
100 on the Pricing Date. The table and graph are included in the section
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PS-3
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entitled "The Basket" in this pricing supplement. We have provided this
hypothetical historical information to help you evaluate the behavior of the
Basket in various economic environments; however, the hypothetical past
performance of the Basket is not necessarily indicative of how the Basket will
perform in the future.
What will I receive on the maturity date of the Notes?
On the maturity date, you will receive a cash payment per unit equal to
the Redemption Amount.
The "Redemption Amount" to which you will be entitled will depend on the
direction of and the percentage change in the value of the Basket over the
term of the Notes, will be denominated and payable in United States dollars
and will equal:
(i) If the Ending Value is greater than the Starting Value, the $10
principal amount per unit multiplied by a percentage equal to:
100 + (Participation Rate x (Ending Value - Starting Value))
(ii) If the Ending Value is equal to or less than the Starting Value,
$10.
The "Starting Value" was set to 100 on the Pricing Date.
The "Ending Value" will equal the value of the Basket as determined by
the Calculation Agent on the Valuation Date, as described in this pricing
supplement.
The "Valuation Date" will be the seventh scheduled business day before
the maturity date of the Notes.
The "Participation Rate" is equal to 181%.
For more specific information about the Redemption Amount, please see
the section entitled "Description of the Notes" in this pricing supplement.
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PS-4
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Examples
Set forth below are two examples of Redemption Amount calculations
including a Participation Rate of 181%:
Example 1--The hypothetical Ending Value is equal to 50% of the Starting
Value:
Starting Value: 100
Hypothetical Ending Value: 50
(Redemption
Redemption Amount (per unit) = US$10 Amount cannot be
less than $10.00)
Example 2--The hypothetical Ending Value is equal to 115% of the Starting
Value:
Starting Value: 100
Hypothetical Ending Value: 115
Redemption Amount (per unit) = $10 x (100 + (181% x (115-100)))% =
US$12.715
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Will I receive interest payments on the Notes?
You will not receive any interest payments on the Notes, but will
instead receive the Redemption Amount on the maturity date. We have designed
the Notes for investors who are willing to forego interest payments on the
Notes, such as fixed or floating interest rates paid on traditional interest
bearing debt securities, in exchange for the ability to participate in
possible increases in the United States dollar value of the Basket over the
term of the Notes.
What about taxes?
Each year, you will be required to pay taxes on ordinary income from the
Notes over their term based upon an estimated yield for the Notes, even though
you will not receive any payments from us until the maturity date. We have
determined this estimated yield, in accordance with regulations issued by the
U.S. Treasury Department, solely in order for you to calculate the amount of
taxes that you will owe each year as a result of owning a Note. This estimated
yield is neither a prediction nor a guarantee of what the actual cash payment
on the maturity date will be, or that the actual cash payment on the maturity
date will exceed the principal amount per unit of the Notes. We have
determined that this estimated yield will equal 5.28% per annum, compounded
semi-annually.
Based upon this estimated yield, if you pay your taxes on a calendar
year basis and if you purchase a unit of the Notes for $10 and hold the Note
until the maturity date, you will be required to pay taxes on the following
amounts of ordinary income from the Note each year: $.3942 in 2006, $.5554 in
2007 and $.1577 in 2008. However, in 2008 the amount of ordinary income that
you will be required to pay taxes on from owning each unit of the Notes may be
greater or less than $.1577 depending upon the cash payment you receive on the
maturity date. Also, if the cash payment on the maturity date is less than
$11.1073, you may have a loss which you could deduct against other income you
may have in 2008, but under current tax regulations, you would neither be
required nor allowed to amend your tax returns for prior years. For further
information, see "United States Federal Income Taxation" in this pricing
supplement
Will the Notes be listed on a securities exchange?
The Notes will not be listed on any securities exchange and we do not
expect a trading market for the Notes to develop, which may affect the price
that you receive for your Notes upon any sale prior to the maturity date. You
should review the section entitled "Risk Factors--A trading market for the
Notes is not expected to develop and if trading does develop, the market price
you may receive or be quoted for your Notes on a date prior to the stated
maturity date will be affected by this and other important factors including
our costs of developing, hedging and distributing the Notes" in this pricing
supplement.
What price can I expect to receive if I sell the Notes prior to the stated
maturity date?
In determining the economic terms of the Notes, and consequently the
potential return on the Notes to you, a number of factors are taken into
account. Among these factors are certain costs associated with creating,
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PS-5
hedging and offering the Notes. In structuring the economic terms of the
Notes, we seek to provide investors with what we believe to be commercially
reasonable terms and to provide MLPF&S with compensation for its services in
developing the Notes.
If you sell your Notes prior to the stated maturity date, you will
receive a price determined by market conditions for the Notes. This price may
be influenced by many factors, such as interest rates, volatility and the
current value of the Basket. In addition, the price, if any, at which you
could sell your Notes in a secondary market transaction is expected to be
affected by the factors that we considered in setting the economic terms of
the Notes, namely the underwriting discount paid in respect of the Notes and
other costs associated with the Notes, and compensation for developing and
hedging the product. Depending on the impact of these factors, you may receive
significantly less than the $10 principal amount per unit of your Notes if
sold before the stated maturity date.
In a situation where there had been no movement in the value of the
Basket and no changes in the market conditions from those existing on the date
of this pricing supplement, the price, if any, at which you could sell your
Notes in a secondary market transaction is expected to be lower than the $10
principal amount per unit. This is due to, among other things, our costs of
developing, hedging and distributing the Notes. Any potential purchasers for
your Notes in the secondary market are unlikely to consider these factors.
What is the role of MLPF&S?
Our subsidiary MLPF&S is the underwriter for the offering and sale of
the Notes. After the initial offering, MLPF&S intends to buy and sell Notes to
create a secondary market for holders of the Notes, and may stabilize or
maintain the market price of the Notes during their initial distribution.
However, MLPF&S will not be obligated to engage in any of these market
activities or continue them once it has started.
What is the role of the Merrill Lynch Capital Services, Inc.?
Merrill Lynch Capital Services, Inc. will serve as Calculation Agent for
purposes of determining, among other things, the Ending Value and the
Redemption Amount. Under certain circumstances, these duties could result in a
conflict of interest between Merrill Lynch Capital Services, Inc. as our
subsidiary and its responsibilities as Calculation Agent. Merrill Lynch
Capital Services, Inc. is required to carry out its duties as Calculation
Agent in good faith and using its reasonable judgment.
What is ML&Co.?
Merrill Lynch & Co., Inc. is a holding company with various subsidiaries
and affiliated companies that provide investment, financing, insurance and
related services on a global basis.
For information about ML&Co., see the section entitled "Merrill Lynch &
Co., Inc." in the accompanying prospectus. You should also read other
documents ML&Co. has filed with the Securities and Exchange Commission, which
you can find by referring to the section entitled "Where You Can Find More
Information" in the accompanying prospectus.
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PS-6
RISK FACTORS
Your investment in the Notes will involve risks. You should carefully
consider the following discussion of risks and the discussion of risks
included in the accompanying prospectus supplement before deciding whether an
investment in the Notes is suitable for you.
You may not earn a return on your investment
On the Valuation Date, if the Ending Value is less than or equal to the
Starting Value, on the maturity date we will pay you only the $10 principal
amount per unit. This will be true even if the value of the Basket was higher
than the Starting Value at some time over the term of the Notes but later
falls below the Starting Value prior to the Valuation Date.
Your yield may be lower than the yield on other debt securities 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 traditional interest bearing United
States dollar-denominated debt security of ML&Co. with the same stated
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.
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 value of the Basket Components are affected by many complex factors
The value of any currency, including the Basket Components, may be
affected by complex political and economic factors. The exchange rate of each
Basket Component is at any moment a result of the supply and demand for that
currency relative to other currencies, and changes in the exchange rate result
over time from the interaction of many factors directly or indirectly
affecting economic and political conditions in the originating country of each
Basket Component, including economic and political developments in other
countries. Of particular importance are the relative rates of inflation,
interest rate levels, balance of payments and extent of governmental surpluses
or deficits in those countries, all of which are in turn sensitive to the
monetary, fiscal and trade policies pursued by the governments of those
countries, and other countries important to international trade and finance.
Foreign exchange rates can either be fixed by sovereign governments or
floating. Exchange rates of most economically developed nations, including
those issuing the Indian rupee and the Russian ruble, are permitted to
fluctuate in value relative to the United States dollar. However, governments
sometimes do not allow their currencies to float freely in response to
economic forces, as is the case with the Chinese renminbi (yuan). Governments,
including those issuing the Basket Components, may use a variety of
techniques, such as intervention by their central bank or imposition of
regulatory controls or taxes, to affect the exchange rates of their respective
currencies. They may also issue a new currency to replace an existing currency
or alter the exchange rate or relative exchange characteristics by devaluation
or revaluation of a currency. Thus, a special risk in purchasing the Notes is
that their liquidity, trading value and amounts payable could be affected by
the actions of sovereign governments which could change or interfere with
theretofore freely determined currency valuation, fluctuations in response to
other market forces and the movement of currencies across borders. There will
be no adjustment or change in the terms of the Notes in the event that
exchange rates should become fixed, or in the event of any devaluation
PS-7
or revaluation or imposition of exchange or other regulatory controls or
taxes, or in the event of the issuance of a replacement currency or in the
event of other developments affecting any of the Basket Components
specifically, or any other currency.
The exchange rate of the Chinese renminbi is currently managed by the Chinese
government
On July 21, 2005, the People's Bank of China, with the authorization of
the State Council of the People's Republic of China, announced that the
Chinese renminbi (yuan) exchange rate would no longer be pegged to the United
States dollar and would float based on market supply and demand with reference
to a basket of currencies. According to public reports, the governor of the
People's Bank of China has stated that the basket is composed mainly of the
United States dollar, the European Union euro, the Japanese yen and the South
Korean won. Also considered, but playing smaller roles, are the currencies of
Singapore, the United Kingdom, Malaysia, Russia, Australia, Canada and
Thailand. The weight of each currency within the basket has not been
announced.
The initial adjustment of the Chinese renminbi (yuan) exchange rate was
an approximate 2% revaluation from an exchange rate of 8.28 renminbi (yuan)
per United States dollar to 8.11 renminbi (yuan) per United States dollar and
as of the Pricing Date was 8.0270 renminbi (yuan) per United States dollar.
The People's Bank of China has also announced that the daily trading price of
the United States dollar against the renminbi (yuan) in the inter-bank foreign
exchange market will continue to be allowed to float within a band of 0.3
percent around the central parity published by the People's Bank of China,
while the trading prices of the non-United States dollar currencies against
the renminbi (yuan) will be allowed to move within a certain band announced by
the People's Bank of China. The People's Bank of China will announce the
closing price of a foreign currency such as the United States dollar traded
against the renminbi (yuan) in the inter-bank foreign exchange market after
the closing of the market on each working day, and will make it the central
parity for the trading against the renminbi (yuan) on the following working
day. The People's Bank of China has stated that it will make adjustments of
the renminbi (yuan) exchange rate band when necessary according to market
developments as well as the economic and financial situation.
Despite the recent change in their exchange rate regime, the Chinese
government continues to manage the valuation of the renminbi (yuan), and, as
currently managed, its price movements are unlikely to contribute
significantly to either an increase or decrease in the value of the Basket.
However, further changes in the Chinese government's management of the
renminbi (yuan) could result in a significant movement in the United States
dollar/renminbi (yuan) exchange rate. Assuming the value of all other Basket
Components remain constant, a decrease in the value of the renminbi (yuan),
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.
Even though currency trades around-the-clock, your Notes will not
The interbank market in foreign currencies is a global, around-the-clock
market. Therefore, the hours of trading for the Notes will not conform to the
hours during which the Basket Components are traded. Significant price and
rate movements may take place in the underlying foreign exchange markets that
will not be reflected immediately in the price of the Notes. The possibility
of these movements should be taken into account in relating the value of the
Notes to those in the underlying foreign exchange markets.
There is no systematic reporting of last-sale information for foreign
currencies. Reasonably current bid and offer information is available in
certain brokers' offices, in bank foreign currency trading offices and to
others who wish to subscribe for this information, but this information will
not necessarily be reflected in the value of the Basket used to calculate the
Redemption Amount. There is no regulatory requirement that those quotations be
firm or revised on a timely basis. The absence of last-sale information and
the limited availability of quotations to individual investors may make it
difficult for many investors to obtain timely, accurate data about the state
of the underlying foreign exchange markets.
A trading market for the Notes is not expected to develop and if trading does
develop, the market price you may receive or be quoted for your Notes on a
date prior to the stated maturity date will be affected by this and other
important factors including our costs of developing, hedging and distributing
the Notes
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
PS-8
your Notes may affect the price that you receive for your Notes if you do not
wish to hold your investment until the maturity date.
If MLPF&S makes a market in the Notes, the price it quotes would reflect
any changes in market conditions and other relevant factors. In addition, the
price, if any, at which you could sell your Notes in a secondary market
transaction is expected to be affected by the factors that we considered in
setting the economic terms of the Notes, namely the underwriting discount paid
in respect of the Notes and other costs associated with the Notes, including
compensation for developing and hedging the product. This quoted price could
be higher or lower than the $10 principal amount. Furthermore, there is no
assurance that MLPF&S or any other party will be willing to buy the Notes.
MLPF&S is not obligated to make a market in the Notes.
Assuming there is no change in the value of the Basket and no change in
market conditions or any other relevant factors, the price, if any, at which
MLPF&S or another purchaser might be willing to purchase your Notes in a
secondary market transaction is expected to be lower than the $10 principal
amount. This is due to, among other things, the fact that the $10 principal
amount included, and secondary market prices are likely to exclude,
underwriting discount paid with respect to, and the developing and hedging
costs associated with, the Notes.
Many factors affect the trading value of the Notes; these factors interrelate
in complex ways and the effect of any one factor may offset or magnify the
effect of another factor
The trading value of the Notes will be affected by factors that
interrelate in complex ways. The effect of one factor may offset the increase
in the trading value of the Notes caused by another factor and the effect of
one factor may exacerbate the decrease in the trading value of the Notes
caused by another factor. For example, a decrease in the volatility of the
Basket may offset some or all of any increase in the trading value of the
Notes attributable to another factor, such as an increase in value of the Long
Basket Components relative to the Short Basket Component. The following
paragraphs describe the expected impact on the trading value of the Notes
given a change in a specific factor, assuming all other conditions remain
constant.
The value of the Basket is expected to affect the trading value of the
Notes. We expect that the trading value of the Notes will depend substantially
on the amount, if any, by which the value of the Basket exceeds or does not
exceed the Starting Value. However, if you choose to sell your Notes when the
value of the Basket exceeds the Starting Value, you may receive substantially
less than the amount that would be payable on the maturity date based on this
value because of the expectation that the value of the Basket will continue to
fluctuate until the Ending Value is determined.
Changes in the levels of interest rates are expected to affect the
trading value of the Notes. We expect that changes in interest rates will
affect the trading value of the Notes. In general, if U.S. interest rates
increase, we expect that the trading value of the Notes will decrease and,
conversely, if U.S. interest rates decrease, we expect that the trading value
of the Notes will increase. If interest rates increase or decrease in markets
based on any Basket Component, the trading value of the Notes may be adversely
affected. Interest rates may also affect the economies of the countries
issuing the Basket Components and, in turn, the respective exchange rates,
which may affect the value of the Basket and therefore, the trading value of
the Notes.
Changes in the volatility of the Basket are expected to affect the
trading value of the Notes. Volatility is the term used to describe the size
and frequency of price and/or market fluctuations. If the volatility of the
Basket increases or decreases, the trading value of the Notes may be adversely
affected.
As the time remaining to the stated maturity date of the Notes
decreases, the "time premium" associated with the Notes is expected to
decrease. We anticipate that before their stated maturity date, the Notes may
trade at a value above that which would be expected based on the value of the
Basket. This difference will reflect a "time premium" due to expectations
concerning the value of the Short Basket Component relative to the Long Basket
Components prior to the stated maturity date of the Notes. However, as the
time remaining to the stated maturity date of the Notes decreases, we expect
that this time premium will decrease, lowering the trading value of the Notes.
Changes in our credit ratings may affect the trading value of the Notes.
Our credit ratings are an assessment of our ability to pay our obligations.
Consequently, real or anticipated changes in our credit ratings may affect the
trading value of the Notes. However, because the return on your Notes is
dependent upon factors in addition to our ability to pay our obligations under
the Notes, such as the percentage increase, if any, in the value of the Basket
over the term of the Notes, an improvement in our credit ratings will not
reduce the other investment risks related to the Notes.
PS-9
In general, assuming all relevant factors are held constant, we expect
that the effect on the trading value of the Notes of a given change in some of
the factors listed above will be less if it occurs later in the term of the
Notes than if it occurs earlier in the term of the Notes. We expect, however,
that the effect on the trading value of the Notes of a given change in the
value of the Basket will be greater if it occurs later in the term of the
Notes than if it occurs earlier in the term of the Notes.
Amounts payable on the Notes may be limited by state law
New York State law governs the 1983 Indenture under which the Notes will
be issued. New York has usury laws that limit the amount of interest that can
be charged and paid on loans, which includes debt securities like the Notes.
Under present New York law, the maximum rate of interest is 25% per annum on a
simple interest basis. This limit may not apply to debt securities in which
$2,500,000 or more has been invested.
While we believe that New York law would be given effect by a state or
federal court sitting outside of New York, many other states also have laws
that regulate the amount of interest that may be charged to and paid by a
borrower. We will promise, for the benefit of the holders of the Notes, to the
extent permitted by law, not to voluntarily claim the benefits of any laws
concerning usurious rates of interest.
Potential conflicts of interest could arise
Our subsidiary Merrill Lynch Capital Services, Inc. is our agent for the
purposes of determining, among other things, the Ending Value and Redemption
Amount. Under certain circumstances, 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. See the section entitled "The Basket" in this pricing
supplement. 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 expect to enter into arrangements to hedge the market risks
associated with our obligation to pay the Redemption Amount due on the
maturity date on the Notes. We may seek competitive terms in entering into the
hedging arrangements for the Notes, but are not required to do so, and we may
enter into such hedging arrangements with one of our subsidiaries or
affiliated companies. Such hedging activity is expected to result in a profit
to those engaging in the hedging activity, which could be more or less than
initially expected, but which could also result in a loss for the hedging
counterparty.
Uncertain 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-10
DESCRIPTION OF THE NOTES
ML&Co. will issue the Notes as part of a series of senior debt
securities entitled "Medium-Term Notes, Series C" under the 1983 Indenture,
which is more fully described in the accompanying prospectus. The Notes will
mature on April 10, 2008. Information included in this pricing supplement
supersedes information in the accompanying prospectus supplement and
prospectus to the extent that it is different from that information. The CUSIP
number for the Notes is 59021V458.
While on the maturity date a holder of a Note will receive an amount
equal to the Redemption Amount, there will be no other payment of interest,
periodic or otherwise. See the section entitled "--Payment on the Maturity
Date".
The Notes will not be subject to redemption by ML&Co. or repayment at
the option of any holder of the Notes before the maturity date.
ML&Co. will issue the Notes in denominations of whole units each with a
$10 principal amount per unit. You may transfer the Notes only in whole units.
You will not have the right to receive physical certificates evidencing your
ownership except under limited circumstances. Instead, we will issue the Notes
in the form of a global certificate, which will be held by The Depository
Trust Company, also known as DTC, or its nominee. Direct and indirect
participants in DTC will record your ownership of the Notes. You should refer
to the section entitled "Description of Debt Securities--Depositary" in the
accompanying prospectus.
The Notes will not have the benefit of any sinking fund.
Payment on the Maturity Date
On the maturity date, you will be entitled to receive a cash payment per
unit equal to the Redemption Amount, as provided below.
Determination of the Redemption Amount
The "Redemption Amount" per unit will be denominated and payable in
United States dollars, will be determined by the Calculation Agent and will
equal:
(i) If the Ending Value is greater than the Starting Value, the $10
principal amount per unit multiplied by a percentage equal to:
100 + (Participation Rate x (Ending Value - Starting Value)); or
(ii) If the Ending Value is equal to or less than the Starting Value,
$10.
The "Starting Value" was set to 100 on March 30, 2006, the date the
Notes were priced for initial sale to the public (the "Pricing Date").
The "Ending Value" will equal the value of the Basket as determined by
the Calculation Agent on the Valuation Date, using the Exchange Rates on that
date, as described in the section entitled "The Basket" in this pricing
supplement.
The "Valuation Date" will be the seventh scheduled Business Day before
the maturity date of the Notes.
The "Participation Rate" is 181%.
A "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.
All determinations made by the Calculation Agent, 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.
PS-11
Hypothetical Returns
The following table illustrates, for the Starting Value of 100 and a
range of hypothetical Ending Values of the Basket:
o the percentage change from the Starting Value to the hypothetical
Ending Value;
o the total amount payable on the maturity date per unit;
o the total rate of return to holders of the Notes;
o the pretax annualized rate of return to holders of the Notes; and
o the pretax annualized rate of return in United States dollars on
an investment in the Basket Components.
The table includes a Participation Rate of 181%.
Percentage
change Pretax
from the Total amount Annualized rate
Starting Value payable on Total rate Pretax Annualized of return on
Hypothetical to the hypothetical the maturity of return rate of return on the Basket
Ending Value Ending Value date per unit on the Notes the Notes(1) Components(1)(2)
- --------------- --------------------- --------------- -------------- -------------------- ------------------
75.00 -25% 10.000 0.00% 0.00% -13.77%
80.00 -20% 10.000 0.00% 0.00% -10.77%
85.00 -15% 10.000 0.00% 0.00% -7.90%
90.00 -10% 10.000 0.00% 0.00% -5.16%
95.00 -5% 10.000 0.00% 0.00% -2.53%
100.00(3) 0% 10.000 0.00% 0.00% 0.00%
105.00 5% 10.905 9.05% 4.34% 2.43%
110.00 10% 11.810 18.10% 8.42% 4.78%
115.00 15% 12.715 27.15% 12.27% 7.05%
120.00 20% 13.620 36.20% 15.92% 9.25%
125.00 25% 14.525 45.25% 19.40% 11.38%
- --------------------
(1) The annualized rates of return specified in this column are calculated on
a semiannual bond equivalent basis and assume an investment term from
April 5, 2006 to April 10, 2008, a term expected to be equal to that of
the Notes.
(2) The pretax annualized rates of return specified in this column assume
that the underlying currency positions will be converted into United
States dollars at the same time and at the same Exchange Rates as those
in the Basket.
(3) This is the Starting Value.
The above figures are for purposes of illustration only. The actual
amount received by you and the resulting total and pretax annualized rates of
return will depend on the actual Ending Value, as calculated based upon the
Exchange Rates on the Valuation Date, and the term of your investment.
Events of Default and Acceleration
In case an Event of Default with respect to any Notes has occurred and
is continuing, the amount payable to a holder of the Notes upon any
acceleration permitted by the Notes, with respect to each unit of the Notes,
will be equal to the Redemption Amount, calculated as though the date of
acceleration were the stated maturity date of the Notes.
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 2.25% 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.
PS-12
THE BASKET
The Basket is designed to allow investors to participate in exchange
rate movements of the 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 Chinese renminbi
(yuan), the Indian rupee, the Russian ruble and the United States dollar. Each
Basket Component will be weighted as set forth in the table below. Those
currencies with positive weightings in the Basket can be viewed as a long
position in the Chinese renminbi (yuan), the Indian rupee, and the Russian
ruble (collectively the "Long Basket Components"). The currency with a
negative weighting in the Basket can be viewed as a short position in the
United States dollar (the "Short Basket Component"), which would require the
future purchase of the Short Basket Component to repay the short position.
On the Pricing Date, a fixed factor (the "Multiplier") was determined
for each Basket Component by dividing the weighting of a Basket Component by
the initial Exchange Rate, as defined below, for that Basket Component on that
date. The Multiplier for each Basket Component will remain fixed over 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 Basket
Component will vary based on the appreciation or depreciation of that Basket
Component. Any appreciation in a Long Basket Component relative to the United
States dollar, assuming the Exchange Rates of all other Basket Components
remain the same, will result in an increase in the value of the Basket.
Conversely, any depreciation in a Long Basket Component relative to the United
States dollar, assuming the Exchange Rates of all other Basket Components
remain the same, 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 should be multiplied by the then current Exchange Rate for that
Basket Component, 2) the resulting products summed and 3) the total added to
100. For example, if the value of the Indian rupee appreciates from 0.022391
INR/USD, its value on the Pricing Date, to 0.023511 INR/USD, then the Indian
rupee contribution to the value of the Basket would equal 35.0007 (the
Multiplier for the Indian rupee, 1488.693374, multiplied by 0.023511). The
appreciation in the Indian rupee would increase the value of the Basket
because of the long position. If the value for the Russian ruble depreciates
from 0.036020 RUB/USD, its value on the Pricing Date, to 0.035300 RUB/USD,
then the Russian ruble contribution to the value of the Basket would equal
32.6670 (the Multiplier for the Russian ruble, 925.411808, multiplied by
0.035300). The depreciation in the Russian ruble would decrease the value of
the Basket because of the long position. Based on the above, assuming the
Exchange Rates of the other Basket Components remain the same, the new value
of the Basket would be 101.00 (the sum of the products of the Multiplier and
the Exchange Rate for each Basket Component plus 100, rounded to two decimal
places). The United States dollar contribution to the value of the Basket will
remain constant at -100.0000.
For each Basket Component, the initial weighting, initial Exchange Rate,
Multiplier and initial Basket value are as follows:
Initial Initial
Basket Component Iso Code Initial Weighting Exchange Rate Multiplier Basket Contribution
--------------------------------------------------------------------------------------------------------------------------------
United States dollar USD -100.00 1.000000 -100.000000 -100.0000
Chinese renminbi (yuan) CNY 33.33 0.124580 267.565687 33.3333
Indian rupee INR 33.33 0.022391 1488.693374 33.3333
Russian ruble RUB 33.33 0.036020 925.411808 33.3333
The "Exchange Rates", (i) for purposes of determining a Basket value for
the Chinese renminbi (yuan), will be the currency exchange rate in the
interbank market quoted as the number of United States dollars for which one
Chinese renminbi (yuan) can be exchanged as reported by Reuters Group PLC
("Reuters") on page SAEC, or any substitute page thereto, (ii) for purposes of
determining a Basket value for the Indian rupee, will be the currency exchange
rate in the interbank market quoted as the number of United States dollars for
which one Indian rupee can be exchanged as reported by Reuters on page RBIB,
or any substitute page thereto (iii) for purposes of determining a Basket
value for the Russian ruble, will be the currency exchange rate in the
interbank market quoted the number of United States dollars for which one
Russian ruble can be exchanged as reported by Reuters on page RUBMCMEEMTA=, or
any substitute page thereto. The initial Exchange Rates will be equal to (i)
the currency exchange rate on the Pricing Date as reported by Reuters on page
SAEC at approximately 5:00 p.m. in Beijing, China for the Chinese renminbi
(yuan), (ii) the average of the high and low currency exchange rates reported
by the State Bank of India on the Pricing Date, for the Indian rupee and (iii)
the CME/EMTA Russian Ruble Reference Rate on the Pricing Date based on a
survey of 10 reference banks conducted at a random time between 12:00 noon and
12:30
PS-13
p.m. Moscow time, for the Russian ruble. For purposes of determining the
Ending Value, the Exchange Rates will be those rates as reported by (i)
Reuters on page SAEC, or any substitute page thereto, at approximately 5:00
p.m., Beijing time, for the Chinese renminbi (yuan), (ii) Reuters on page
RBIB, or any substitute page thereto, at approximately 2:30 p.m. in Mumbai,
India, for the Indian rupee and (iii) Reuters on page RUBMCMEEMTA=, or any
substitute page thereto, at approximately 8:30 a.m. in New York City time, for
the Russian ruble, on the relevant date. If the currency exchange rates are
not so quoted on Reuters page SAEC, Reuters page RBIB or Reuters page
RUBMCMEEMTA= (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.
While historical information on the Basket did not exist before the
Pricing Date, the following table sets forth the hypothetical historical
month-end values of the Basket from January 2001 through February 2006 based
upon historical Exchange Rates, the Multipliers indicated above and a Basket
value of 100 on the Pricing Date. This hypothetical historical data on the
Basket is not necessarily indicative of the future performance of the Basket
or what the value of the Notes may be. Any upward or downward trend in the
hypothetical historical value of the Basket during any period set forth below
is not an indication that the Basket is more or less likely to increase or
decrease in value at any time over the term of the Notes.
Monthly Closing Values
---------------------------------------------------------------
2001 2002 2003 2004 2005 2006
---------- ------------ ---------- ----------- ------------ ---------
January ................ 97.00 93.14 92.49 97.66 99.39 99.85
February ............... 96.57 92.75 92.92 97.61 99.83 99.85
March .................. 96.43 92.48 93.18 99.04 99.53
April .................. 96.07 92.40 93.49 97.74 99.81
May .................... 95.73 92.19 94.00 96.88 99.11
June ................... 95.71 92.17 94.18 96.54 98.84
July ................... 95.42 92.24 95.17 96.19 99.56
August ................. 95.36 92.30 95.13 96.05 99.24
September .............. 94.83 92.30 95.02 96.37 99.31
October ................ 94.46 92.22 96.13 97.26 98.43
November ............... 94.33 92.18 95.87 98.55 97.66
December ............... 93.50 92.40 96.57 99.93 98.37
The following graph sets forth the hypothetical historical performance
of the Basket presented in the preceding table. This hypothetical historical
information is not necessarily indicative of the future performance of the
Basket.
PS-14
[GRAPHIC OMITTED]
PS-15
UNITED STATES FEDERAL INCOME TAXATION
Set forth in full below is the opinion of Sidley Austin 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, real estate investment trusts, dealers in securities or
currencies, traders in securities that elect to mark to market, tax-exempt
entities or persons holding Notes in a tax-deferred or tax-advantaged account
(except to the extent specifically discussed below), persons 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). If a partnership holds the Notes, the tax treatment
of a partner in the partnership will generally depend on the status of the
partner and the activities of the partnership. Thus, persons who are partners
in a partnership holding the Notes should consult their own tax advisors.
Moreover, all 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.
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. In
general, under the Foreign Currency Regulations, since the amount payable on
the maturity date with respect to a Note in excess of the principal amount of
the Note, if any, will be
PS-16
determined by reference to the value of the Basket while repayment of 100% of
the principal amount 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 maturity date (i.e., the
Redemption Amount) of an amount equal to $11.1073 per unit of the Notes (the
"Projected Redemption Amount"). This represents an estimated yield on the
Notes equal to 5.28% per annum, compounded semi-annually. 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., $10),
increased by the interest previously accrued on the Note. On the maturity date
of a Note, in the event that the actual cash payment on the maturity date (the
"Actual Redemption Amount") exceeds $11.1073 per unit of the Notes (i.e., the
Projected Redemption Amount), a U.S. Holder will be required to include the
excess of the Actual Redemption Amount over $11.1073 per unit of the Notes
(i.e., the Projected Redemption Amount) in income as ordinary interest on the
maturity date. Alternatively, in the event that the Actual Redemption Amount,
if any, is less than $11.1073 per unit of the Notes (i.e., the Projected
Redemption Amount), the amount by which the Projected Redemption Amount (i.e.,
$11.1073 per unit of the Notes) 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
maturity date occurs to the extent of the amount of that includible interest.
Further, a U.S. Holder will be permitted to recognize and deduct, as an
ordinary loss that is not subject to the limitations applicable to
miscellaneous itemized deductions, any remaining portion of the Projected
Redemption Amount (i.e., $11.1073 per unit of the Notes) in excess of the
Actual Redemption Amount that is not treated as an interest offset pursuant to
the foregoing rules. 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
adjustment 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 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 generally be treated as ordinary loss to the 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 potential 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) will have been determined solely
for United States federal income tax purposes (i.e., for purposes of applying
the CPDI Regulations to the Notes), and will be neither a prediction nor a
guarantee of what the Actual Redemption Amount will be, or that the Actual
Redemption Amount will even exceed the principal amount of the Notes.
PS-17
The following table sets forth the amount of interest that will be
deemed to accrue 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 the estimated yield equal to 5.28% per annum (compounded
semi-annually)) as determined by ML&Co. for purposes of applying the
application of the CPDI Regulations to the Notes.
Total interest
deemed to have
Interest deemed accrued on Notes
to accrue on as of end of
Notes during accrual period
accrual period (per unit of the
Accrual Period (per unit of the Notes) Notes)
- ----------------------------- ---------------------------- ----------------------
April 5, 2006 through October 10, 2006 $0.2721 $0.2721
October 11, 2006 through April 10, 2007 $0.2711 $0.5432
April 11, 2007 through April 10, 2007 $0.2784 $0.8216
October 11, 2007 through April 10, 2008 $0.2857 $1.1073
- ------------------
Projected Redemption Amount = $11.1073 per unit of the Notes
Unrelated Business Taxable Income
Section 511 of the Code generally imposes a tax, at regular corporate or
trust income tax rates, on the "unrelated business taxable income" of certain
tax-exempt organizations, including qualified pension and profit sharing plan
trusts and individual retirement accounts. In general, if the Notes are held
for investment purposes, the amount of income or gain realized with respect to
the Notes will not constitute unrelated business taxable income. However, if a
Note constitutes debt-financed property (as defined in Section 514(b) of the
Code) by reason of indebtedness incurred by a holder of a Note to purchase the
Note, all or a portion of any income or gain realized with respect to such
Note may be classified as unrelated business taxable income pursuant to
Section 514 of the Code. Moreover, prospective investors in the Notes should
be aware that whether or not any income or gain realized with respect to a
Note which is owned by an organization that is generally exempt from U.S.
federal income taxation pursuant to Section 501(a) of the Code constitutes
unrelated business taxable income will depend upon the specific facts and
circumstances applicable to such organization. Accordingly, any potential
investors in the Notes that are generally exempt from U.S. federal income
taxation pursuant to Section 501(a) of the Code are urged to consult with
their own tax advisors concerning the U.S. federal income tax consequences to
them of investing in the Notes.
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) 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 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.
PS-18
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-19
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 a 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.
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.
PS-20
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 prices set forth on the cover of this pricing supplement. After the
initial public offering, the public offering prices 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.
EXPERTS
The consolidated financial statements, the related financial statement
schedule, and management's report on the effectiveness of internal control
over financial reporting incorporated in this pricing supplement by reference
from Merrill Lynch & Co., Inc.'s Annual Report on Form 10-K for the year ended
December 30, 2005 have been audited by Deloitte & Touche LLP, an independent
registered public accounting firm, as stated in their reports, which are
incorporated herein by reference, and have been so incorporated in reliance
upon the reports of such firm given upon their authority as experts in
accounting and auditing.
PS-21
INDEX OF CERTAIN DEFINED TERMS
Page
-----------------
Basket ..................................................................... PS-3
Basket Component ........................................................... PS-3
Business Day ............................................................... PS-11
Calculation Agent .......................................................... PS-3
Ending Value ............................................................... PS-4
Exchange Rates ............................................................. PS-13
Long Basket Components ..................................................... PS-3
Multiplier ................................................................. PS-3
Notes ...................................................................... PS-1
Participation Rate ......................................................... PS-4
Pricing Date ............................................................... PS-3
Redemption Amount .......................................................... PS-4
Short Basket Component ..................................................... PS-3
Starting Value ............................................................. PS-4
Valuation Date ............................................................. PS-4
PS-22
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[GRAPHIC OMITTED]
10,000,000 Units
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
100% Protected Multi Currency Basket Notes
due April 10, 2008
(the "Notes")
$10 principal amount per unit
----------------------------------
PRICING SUPPLEMENT
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Merrill Lynch & Co.
March 30, 2006
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