Table of Contents

PRICING SUPPLEMENT

(To MTN prospectus supplement,

general prospectus supplement and

prospectus, each dated March 31, 2006)

Pricing Supplement Number: 2577

 

Filed Pursuant to Rule 424(b)(3)

Registration No. 333-132911

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4,200,000 Units

Merrill Lynch & Co., Inc.

Medium-Term Notes, Series C

Strategic Return Notes®

Linked to the Baby Boomer Consumption Index

due September 6, 2011

(the “Notes”)

$10 original public offering price per unit

 


 

The Notes:

 

•        The Notes are designed for investors who are willing to forego interest payments on the Notes in exchange for the ability to participate in changes in the level of the Baby Boomer Consumption Index (the “Index”) over the term of the Notes.

 

•        There will be no payments prior to the maturity date unless exchanged at your option for a cash payment during a specified period in August of each year from 2007 through 2010 as described in this pricing supplement.

 

•        The Notes have been approved for listing on the American Stock Exchange under the trading symbol “MFY”. We make no representations, however, that the Notes will remain listed for the entire term of the Notes.

 

•        The Notes will be senior unsecured debt securities of Merrill Lynch & Co., Inc. and part of a series entitled “Medium-Term Notes, Series C.” The Notes will have the CUSIP No. 59022C202.

 

•        The settlement date for the Notes is expected to be September 6, 2006.

  

Payment on the maturity date or upon exchange:

 

•        The amount you receive on the maturity date or upon exchange will be based on the direction of and percentage change in the level of the Index, which includes a reduction by an annual index adjustment factor of 1.5%, over the term of the Notes.

 

•        The level of the Index must increase by approximately 1% in order for you to receive at least the $10 original public offering price per unit on the maturity date or upon exchange. If the level of the Index has declined or has not increased sufficiently, you will receive less, and possibly significantly less, than the $10 original public offering price per unit.

Information included in this pricing supplement supersedes information in the accompanying MTN prospectus supplement, general 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” section of this pricing supplement beginning on page PS-7 and page S-3 in the accompanying MTN prospectus supplement.

 


 

     Per unit     Total

Public offering price (1)

   $ 10.00     $ 42,000,000

Underwriting fee (1)

   $ .20     $ 840,000

Proceeds, before expenses, to Merrill Lynch & Co., Inc.

   $ 9.90 (2)   $ 41,580,000
 
  (1) The public offering price and the underwriting fee for any single transaction to purchase between 100,000 to 299,999 units will be $9.95 per unit and $.15 per unit, respectively, and for any single transaction to purchase 300,000 units or more will be $9.90 per unit and $.10 per unit, respectively.
  (2) $.10 per unit of the underwriting fee will be paid to the underwriter by a subsidiary of Merrill Lynch & Co., Inc. For a description of this payment, please see the section entitled “Supplemental Plan of Distribution” in this pricing supplement.

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 MTN prospectus supplement, general prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

 


Merrill Lynch & Co.

 


The date of this pricing supplement is August 30, 2006.

“Strategic Return Notes” is a registered mark of Merrill Lynch & Co., Inc.


Table of Contents

TABLE OF CONTENTS

Pricing Supplement

 

     Page

SUMMARY INFORMATION—Q&A

   PS-3  

RISK FACTORS

   PS-7  

DESCRIPTION OF THE NOTES

   PS-10

THE INDEX

   PS-15

UNITED STATES FEDERAL INCOME TAXATION

   PS-19

ERISA CONSIDERATIONS

   PS-22

USE OF PROCEEDS AND HEDGING

   PS-23

SUPPLEMENTAL PLAN OF DISTRIBUTION

   PS-23

EXPERTS

   PS-23

INDEX OF CERTAIN DEFINED TERMS

   PS-24

Medium-Term Notes, Series C Prospectus Supplement

(the “MTN prospectus supplement”)

 

RISK FACTORS

   S-3  

DESCRIPTION OF THE NOTES

   S-4  

UNITED STATES FEDERAL INCOME TAXATION

   S-22

PLAN OF DISTRIBUTION

   S-29

VALIDITY OF THE NOTES

   S-30

Debt Securities, Warrants, Preferred Stock,

Depositary Shares and Common Stock Prospectus Supplement

(the “general prospectus supplement”)

 

MERRILL LYNCH & CO., INC.

   S-3  

USE OF PROCEEDS

   S-3  

RATIO OF EARNINGS TO FIXED CHARGES AND RATIO OF EARNINGS TO COMBINED FIXED CHARGES AND PREFERRED STOCK DIVIDENDS

   S-4  

THE SECURITIES

   S-4  

DESCRIPTION OF DEBT SECURITIES

   S-5  

DESCRIPTION OF DEBT WARRANTS

   S-16

DESCRIPTION OF CURRENCY WARRANTS

   S-18

DESCRIPTION OF INDEX WARRANTS

   S-20

DESCRIPTION OF PREFERRED STOCK

   S-25

DESCRIPTION OF DEPOSITARY SHARES

   S-32

DESCRIPTION OF PREFERRED STOCK WARRANTS

   S-36

DESCRIPTION OF COMMON STOCK

   S-38

DESCRIPTION OF COMMON STOCK WARRANTS

   S-42

PLAN OF DISTRIBUTION

   S-44

WHERE YOU CAN FIND MORE INFORMATION

   S-45

INCORPORATION OF INFORMATION WE FILE WITH THE SEC

   S-46

EXPERTS

   S-46

Prospectus

 

WHERE YOU CAN FIND MORE INFORMATION

   2  

INCORPORATION OF INFORMATION WE FILE WITH THE SEC

   2  

EXPERTS

   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 MTN prospectus supplement, general prospectus supplement and prospectus to help you understand the Strategic Return Notes® Linked to the Baby Boomer Consumption Index due September 6, 2011 (the “Notes”). You should carefully read this pricing supplement and the accompanying MTN prospectus supplement, general prospectus supplement and prospectus to fully understand the terms of the Notes, the Baby Boomer Consumption Index (the “Index”) 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” sections in this pricing supplement and the accompanying MTN prospectus supplement, which highlight 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 September 6, 2011, unless exchanged by you as described in this pricing supplement. We will not make any payments on the Notes until the maturity date or upon exchange.

Each unit will represent a single Note with a $10 original public offering price. 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 general prospectus supplement.

Are there any risks associated with my investment?

Yes, an investment in the Notes is subject to risks, including the risk of loss of principal. Please refer to the section entitled “Risk Factors” in this pricing supplement and the accompanying MTN prospectus supplement.

Who publishes the Index and what does the Index measure?

The Index will be calculated and disseminated by the American Stock Exchange (the “AMEX”) under the index symbol “MLFOY”. The Index is an index which reflects the price changes and dividends of 23 stocks (the “Underlying Stocks”) of companies that participate in various health care and health care-related businesses that may benefit from the continued aging of the generation of consumers commonly referred to as “baby boomers”, less an annual index adjustment factor of 1.5% applied daily (the “Index Adjustment Factor”). The Index will be rebalanced on the last Business Day of June in each year, or, under certain circumstances, on a day shortly after such date, as described in this pricing supplement. For more specific information about the Index, its rebalancing, and the Index Adjustment Factor, please see the section entitled “The Index” in this pricing supplement.

The Notes are debt obligations of ML&Co. and an investment in the Notes does not entitle you to any ownership interest in the Underlying Stocks.

How has the Index performed historically?

The Index did not exist prior to the date the Notes were priced for initial sale to the public (the “Pricing Date”). However, we have included a table and a graph showing the hypothetical historical month-end closing levels of the Index from June 2001 through June 2006 based on historical levels of the Underlying Stocks, historical dividends on the Underlying Stocks, an Index Adjustment Factor of 1.5% and an Index level of 100 on June 29, 2001. These hypothetical closing levels have been calculated on the same basis that the Index will be calculated. For further details on the calculation of these hypothetical levels, please refer to the section entitled “The Index—Hypothetical Historical Data on the Index” in this prospectus supplement.

We have provided this hypothetical historical information to help you evaluate the behavior of the Index in various economic environments; however, this information is not necessarily indicative of how the Index will perform in the future.

 

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What will I receive on the maturity date of the Notes?

On the maturity date, if you have not previously exchanged your Notes, 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 percentage change in the level of the Index over the term of the Notes and will equal:

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Because the quotient of the Ending Value and the Starting Value will be multiplied by $9.90, the level of the Index will need to increase by approximately 1% in order for you to receive a Redemption Amount equal to or greater than the $10 original public offering price per unit. If the Ending Value does not exceed the Starting Value by more than approximately 1%, you will receive less, and possibly significantly less, than the $10 original public offering price per unit.

The “Starting Value” equals 100.

For purposes of determining the Redemption Amount, the “Ending Value” means the average of the levels of the Index at the close of the market on five index business days shortly before the maturity date of the Notes. We may calculate the Ending Value by reference to fewer than five or even a single day’s closing level if, during the period shortly before the maturity date of the Notes, there is a disruption in the trading of an Underlying Stock or certain futures or options contracts relating to an Underlying Stock.

For more specific information about the Redemption Amount, please see the section entitled “Description of the Notes” in this pricing supplement.

Will I receive interest payments on the Notes?

You will not receive any interest payments on the Notes, but you will receive the Exchange Amount following the exercise of your exchange option or 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 changes in the level of the Index over the term of the Notes.

How does the exchange feature work?

You may elect to exchange all or a portion of your Notes during a specified period in the month of August of each year from 2007 through 2010 by giving notice to the depositary or trustee of the Notes, as the case may be, as described in this pricing supplement. Upon exchange, you will receive a cash payment per unit (the “Exchange Amount”) equal to the Redemption Amount, calculated as if the exchange date were the stated maturity date, except that the Ending Value will be equal to the closing level of the Index on the exchange date. The Exchange Amount will be paid three banking business days following the exchange date. If you elect to exchange your Notes, you will receive only the Exchange Amount and you will not receive the Redemption Amount on the maturity date. The Exchange Amount you receive may be greater than or less than the Redemption Amount on the maturity date depending upon the performance of the Index during the period from the exchange date until the maturity date.

For more specific information about the exchange feature, please see the section entitled “Description of the Notes—Exchange of the Notes Prior to the Maturity Date” in this pricing supplement.

What are the costs associated with an investment in the Notes?

Your return will reflect the deduction of the following costs over the term of the Notes:

Index Adjustment Factor. The level of the Index will reflect a 1.5% annual reduction that will be applied and accrue daily on the basis of a 365-day year to the benefit of MLPF&S as calculation agent. As a result of the cumulative effect on this deduction, the levels of the Index used to calculate the Redemption Amount during the five index business days shortly before the stated maturity date will be approximately 7.23% less than the level of the Index had the Index Adjustment Factor not been applied.

Sales Charge. Because the quotient of the Ending Value and the Starting Value will be multiplied by $9.90 in order to determine the Redemption Amount or Exchange Amount, the level of the Index must increase by approximately 1% or more from the Starting Value for you to receive an amount equal to or greater than the $10 original offering price per unit. This is analogous to paying a sales charge of approximately 1% per unit of the Notes.

 

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Examples

Set forth below are two examples of Redemption Amount calculations:

Example 1—The hypothetical Ending Value is 40% below the Starting Value:

Starting Value: 100.00

Hypothetical Ending Value: 60.00

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Example 2—The hypothetical Ending Value is 40% above the Starting Value:

Starting Value: 100.00

Hypothetical Ending Value: 140.00

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What about taxes?

The United States federal income tax consequences of an investment in the Notes are complex and uncertain. By purchasing a Note, you and ML&Co. agree, in the absence of an administrative determination, judicial ruling or other authoritative guidance to the contrary, to characterize and treat a Note for all tax purposes as a pre-paid cash-settled forward contract linked to the level of the Index. Under this characterization and tax treatment of the Notes, you should be required to recognize gain or loss to the extent that you receive cash on the maturity date or upon a sale or exchange of a Note prior to the maturity date. You should review the discussion under the section entitled “United States Federal Income Taxation” in this pricing supplement.

Will the Notes be listed on a securities exchange?

The Notes have been approved for listing on the AMEX under the trading symbol “MFY”. We make no representation, however, that the Notes will remain listed for the entire term of the Notes. In any event, you should be aware that the listing of the Notes on the AMEX will not necessarily ensure that a liquid trading market will be available for the Notes. You should review the section entitled “Risk Factors—There may be an uncertain trading market for the Notes and 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, a number of factors are taken into account. Among these factors are certain costs associated with creating, 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 levels of the Index. 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. Depending on the impact of these factors, you may receive significantly less than the $10 original public offering price per unit of your Notes if sold before the stated maturity date.

 

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In a situation where there had been no movement in the level of the Index 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 original public offering price 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 currently 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.

MLPF&S will also be our agent for purposes of calculating, among other things, the Ending Value, Redemption Amount and Exchange Amounts. Under certain circumstances, these duties could result in a conflict of interest between MLPF&S as our subsidiary and its responsibilities as calculation agent.

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 general prospectus supplement. You should also read other documents ML&Co. has filed with the Securities and Exchange Commission, which you can find by referring to the sections entitled “Where You Can Find More Information” in the accompanying general prospectus supplement and prospectus.

 

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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 MTN prospectus supplement before deciding whether 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 or upon exchange. The payment on the Notes you receive will depend on the change in the level of the Index. Because the level of the Index is subject to market fluctuations, the payment on the Notes you receive may be more or less than the $10 original public offering price per unit of the Notes. In addition, because the quotient of the Ending Value and the Starting Value will be multiplied by $9.90, the level of the Index will need to increase by more than approximately 1% in order for you to receive a Redemption Amount equal to or greater than the $10 original public offering price per unit. If the level of the Index declines or does not increase sufficiently, you will receive less, and possibly significantly less than the $10 original public offering price per unit. The level of the Index will also reflect the deduction of the 1.5% per annum Index Adjustment Factor.

The level of the Index 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 level of the Index exceeds or does not exceed the Starting Value. However, if you choose to sell your Notes when the level of the Index exceeds the Starting Value, you may receive substantially less than the amount that would be payable on the maturity date based on this level because of the expectation that the level of the Index will continue to fluctuate until the Ending Value is determined. Additionally, because the trading value and perhaps final return on your Notes is dependent on factors in addition to the level of the Index, such as our credit rating, an increase in the level of the Index will not reduce the other investment risks related to 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 in the level of the Index over the term of the Notes, an improvement in our credit ratings will not reduce the other investment risks related to the Notes.

Your yield, which could be negative, may be lower than the yield on other debt securities of comparable maturity

The yield that you will receive on your Notes, which could be negative, 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 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. Unlike traditional interest bearing debt securities, the Notes do not guarantee the return of a principal amount on the maturity date.

You must rely on your own evaluation of the merits of an investment linked to the Baby Boomer Consumption Index

In the ordinary course of their businesses, affiliates of ML&Co. may express views on expected movements in the price of stocks, including the Underlying Stocks, and these views are sometimes communicated to clients who participate in these shares. However, these views are subject to change from time to time. For these reasons, you are encouraged to derive information concerning the Underlying Stocks from multiple sources and should not rely on the views expressed by affiliates of ML&Co.

Your return will not reflect the return of owning the Underlying Stocks

While the Index reflects the payment of dividends on the Underlying Stocks as described in more detail below, the yield to the maturity date of the Notes will not produce the same yield as that of other investments with the same term which are based solely on the performance of the Underlying Stocks. At the end of each quarterly period, the dividends paid on the Underlying Stocks will be incorporated into the Index and those amounts will then be subject to the change in the level of the Index. The level of the Index will also reflect the deductions and charges described above under “—Your investment may result in a loss”, which will result in the return on an investment in the Notes being less than the return on a similar investment in the Underlying Stocks. The trading value of the Notes and final return on the Notes may also differ from the

 

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results of the Index for the reasons described above under “—Changes in our credit ratings may affect the trading value of the Notes”.

The Underlying Stocks are concentrated in one industry

Most of the Underlying Stocks are issued by companies in the health care and health care-related industries. As a result, an investment in the Notes will be concentrated primarily in one industry.

There may be an uncertain trading market for the Notes and 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 have been approved for listing on the AMEX under the trading symbol “MFY”. We make no representation, however, that the Notes will remain listed for the entire term of the Notes. In any event, you should be aware that the listing of the Notes on the AMEX does not ensure that a trading market will develop for the Notes. While there have been a number of issuances of series of Strategic Return Notes, trading volumes have varied historically from one series to another and it is therefore impossible to predict how the Notes will trade. If a trading market does develop, there can be no assurance that there will be liquidity in the trading market. The development of a trading market for the Notes will depend on our financial performance and other factors, including changes in the level of the Index.

If the trading market for the Notes is limited, there may be a limited number of buyers for your Notes which may affect the price you receive if you do not wish to hold your investment until the stated maturity date.

If a market-maker (which may be 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 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 original public offering price. MLPF&S is not obligated to make a market in the Notes.

Assuming there is no change in the level of the Index and no change in market conditions or any other relevant factors, the price at which a purchaser (which may include MLPF&S) might be willing to purchase your Notes in a secondary market transaction is expected to be lower than the $10 original public offering price per unit. This is due to, among other things, the fact that the $10 original public offering price per unit 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.

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.

Purchases and sales by us and our affiliates may affect your return

We and our affiliates may from time to time buy or sell the Underlying Stocks or futures or option contracts on the Underlying Stocks or the Index for our own accounts for business reasons and expect to enter into these transactions in connection with hedging our obligations under the Notes. These transactions could affect the price of the Underlying Stocks and, in turn, the level of the Index in a manner that would be adverse to your investment in the Notes. Any purchases by us, our affiliates or others on our behalf on or before the Pricing Date may temporarily increase or decrease the prices of the Underlying Stocks. Temporary increases or decreases in the market prices of the Underlying Stocks may also occur as a result of the purchasing activities of other market participants. Consequently, the prices of the Underlying Stocks may change subsequent to the Pricing Date, affecting the level of the Index and therefore the trading value of the Notes.

 

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Potential conflicts

Our subsidiary MLPF&S is our agent for the purposes of calculating the Ending Value, Redemption Amount and Exchange Amounts. Under certain circumstances, MLPF&S 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 level of the Index can be calculated on a particular trading day, or in connection with judgments that it would be required to make in the event of a discontinuance or unavailability of the Index. See the sections entitled “Description of the Notes—Adjustments to the Index; Market Disruption Events” and “—Discontinuance of the Index” in this pricing supplement. MLPF&S is required to carry out its duties as calculation agent in good faith and using its reasonable judgment. However, because we control MLPF&S, potential conflicts of interest could arise. MLPF&S, the underwriter, will pay an additional amount on each anniversary of the Pricing Date in 2007 through 2010 to brokers whose clients purchased their units in the initial distribution and continue to hold the Notes. In addition, MLPF&S may from time to time pay additional amounts to brokers whose clients purchased Notes in the secondary market and continue to hold the Notes. As a result of these payments, your broker will receive a financial benefit each year you retain your investment in the Notes. Please see the section entitled “Supplemental Plan of Distribution” in this pricing supplement.

We expect to enter into arrangements to hedge the market risks associated with our obligation to pay the Redemption Amount or Exchange Amount, as applicable. 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.

ML&Co. or its affiliates may presently or from time to time engage in business with one or more of the companies included in the Index including extending loans to, or making equity investments in, those companies or providing advisory services to those companies, including merger and acquisition advisory services. In the course of business, ML&Co. or its affiliates may acquire non-public information relating to those companies and, in addition, one or more affiliates of ML&Co. may publish research reports about those companies. ML&Co. does not make any representation to any purchasers of the Notes regarding any matters whatsoever relating to the companies included in the Index. Any prospective purchaser of the Notes should undertake an independent investigation of the companies included in the Index as in its judgment is appropriate to make an informed decision regarding an investment in the Notes. The composition of the Index does not reflect any investment recommendations of ML&Co. or its affiliates.

Tax consequences are uncertain

You should consider the tax consequences of investing in the Notes, aspects of which are uncertain. See the section entitled “United States Federal Income Taxation” in this pricing supplement.

 

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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 general prospectus supplement. Unless exchanged by you, the Notes will mature on September 6, 2011. Information included in this pricing supplement supersedes information in the accompanying MTN prospectus supplement, general prospectus supplement and prospectus to the extent that it is different from that information. The CUSIP number for the Notes is 59022C202.

While on the maturity date or upon exchange a holder of a Note will receive an amount equal to the Redemption Amount or the Exchange Amount, as the case may be, there will be no other payment of interest, periodic or otherwise. See the section entitled “—Payment on the Maturity Date” and “—Exchange of the Notes Prior to the Maturity Date” in this pricing supplement.

The Notes may be exchanged by you prior to the maturity date on the dates indicated below, but are not subject to repayment by ML&Co. prior to the maturity date.

ML&Co. will issue the Notes in denominations of whole units each with a $10 original public offering price 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 general prospectus supplement.

The Notes will not have the benefit of any sinking fund.

Payment on the Maturity Date

Unless you have exchanged your Notes prior to 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 determined by the calculation agent and will equal:

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The “Starting Value” equals 100.

For the purpose of determining the Redemption Amount, the “Ending Value” will be determined by the calculation agent and will equal the average of the closing levels of the Index determined on each of the five Calculation Days during the Calculation Period. If there are fewer than five Calculation Days during the Calculation Period, then the Ending Value will equal the average of the closing levels of the Index on those Calculation Days. If there is only one Calculation Day during the Calculation Period, then the Ending Value will equal the closing level of the Index on that Calculation Day. If no Calculation Days occur during the Calculation Period, then the Ending Value will equal the closing level of the Index determined (or, if not determinable, estimated by the calculation agent in a manner which it considers commercially reasonable under the circumstances) on the last scheduled Index Business Day in the Calculation Period, regardless of the occurrence of a Market Disruption Event (as described below under “—Adjustments to the Index; Market Disruption Events”) on that scheduled Index Business Day.

The “Calculation Period” means the period from and including the seventh scheduled Index Business Day before the maturity date to and including the second scheduled Index Business Day before the maturity date.

A “Calculation Day” means any Index Business Day during the Calculation Period on which a Market Disruption Event has not occurred.

An “Index Business Day” means a day on which the New York Stock Exchange (the “NYSE”), the AMEX and The Nasdaq Stock Market (the “Nasdaq”) are open for trading and the Index or any successor index is calculated and published.

 

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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.

Exchange of the Notes Prior to the Maturity Date

You may elect to exchange all or a portion of the Notes you own during any Banking Business Day that occurs in an Exchange Notice Period by giving notice as described below. An “Exchange Notice Period” means the period from and including the first calendar day of the month of August to and including 12:00 noon in The City of New York on the fifteenth calendar day during the month of August in the years 2007, 2008, 2009 and 2010. If the fifteenth calendar day of the applicable month of August is not a Banking Business Day, then the Exchange Notice Period will be extended to 12:00 noon in The City of New York on the next succeeding Banking Business Day. The amount of the cash payment you receive upon exchange (the “Exchange Amount”) will be equal to the Redemption Amount, calculated as if the Exchange Date were the stated maturity date, except that the Ending Value will be equal to the closing level of the Index on the Exchange Date. An “Exchange Date” will be the third Index Business Day following the end of the applicable Exchange Notice Period. If a Market Disruption Event occurs on the third Index Business Day following an Exchange Notice Period, the Exchange Date for that year will be the next succeeding Index Business Day on which a Market Disruption Event does not occur. The Exchange Amount will be paid three Banking Business Days after the Exchange Date.

The Notes will be issued in registered global form and will remain on deposit with the depositary as described in the section entitled “Description of Debt Securities—Depositary” in the accompanying general prospectus supplement. Therefore, you must exercise the option to exchange your Notes through the depositary. To make your exchange election effective, you must make certain that your notice is delivered to the depositary during the applicable Exchange Notice Period. To ensure that the depositary will receive timely notice of your election to exchange all or a portion of your Notes, you must instruct the direct or indirect participant through which you hold an interest in the Notes to notify the depositary of your election to exchange your Notes prior to 12:00 noon in The City of New York on the last Index Business Day of the applicable Exchange Notice Period, in accordance with the then applicable operating procedures of the depositary. Different firms have different deadlines for accepting instructions from their customers. You should consult the direct or indirect participant through which you hold an interest in the Notes to ascertain the deadline for ensuring that timely notice will be delivered to the depositary.

If at any time the global securities are exchanged for Notes in definitive form, from and after that time, notice of your election to exchange must be delivered to JPMorgan Chase Bank, N.A., as trustee under the 1983 Indenture, through the procedures required by the trustee by 12:00 noon in The City of New York on the last day of the applicable Exchange Notice Period.

A “Banking Business Day” means any day other than a Saturday or Sunday that is not a day on which banking institutions in The City of New York are authorized or required by law, regulation or executive order to close.

 

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Hypothetical Returns

The following tables illustrate for the Starting Value and a range of hypothetical Ending Values of the Index:

 

    the total amount payable on the maturity date of the Notes, and the total amount payable on an investment in the Underlying Stocks;

 

    the total rate of return to holders of the Notes, and the total rate of return on an investment in the Underlying Stocks; and

 

    the pretax annualized rate of return to holders of the Notes, and the pretax annualized rate of return on an investment in the Underlying Stocks.

The tables assume an initial investment of $10 in the Notes and an initial investment of $10 in the Underlying Stocks.

 

Hypothetical Returns Related to Strategic Return Notes
Based on the Index

  

Hypothetical Returns Related to an Investment
in the Underlying Stocks

Hypothetical
Ending
Value of
the Index

  

Total

amount
payable on
the maturity
date per unit(1)

  

Total rate of

return on

the Notes

  

Pretax

annualized

rate of

return on

the Notes(2)

  

Hypothetical
Ending
Value of an
Investment
in the
Underlying
Stocks (3)

  

Total

amount
payable on the

maturity date
per unit

  

Total
rate of
return on
the Underlying
Stocks

  

Pretax
annualized
rate of
return on
the Underlying
Stocks (2)

  20.00

     1.98    -80.20%    -29.89%     21.56      2.16     -78.44%    -28.44%

  40.00

     3.96    -60.40%    -17.69%     43.12      4.31     -56.88%    -16.13%

  60.00

     5.94    -40.60%    -10.15%     64.68      6.47     -35.32%      -8.52%

  80.00

     7.92    -20.80%     -4.61%     86.23      8.62     -13.77%      -2.94%

100.00(4)      

     9.90      -1.00%     -0.20%    107.79    10.78       7.79%       1.51%

120.00

   11.88     18.80%      3.47%    129.35    12.94      29.35%       5.21%

140.00

   13.86     38.60%      6.63%    150.91    15.09      50.91%       8.40%

160.00

   15.84     58.40%      9.41%    172.47    17.25      72.47%     11.20%

180.00

   17.82     78.20%     11.89%    194.03    19.40      94.03%     13.70%

200.00

   19.80     98.00%     14.13%    215.59    21.56     115.59%     15.96%

(1) The amounts specified in this column reflect the 1% sales charge that will be paid to MLPF&S.
(2) The annualized rates of return specified in this column are calculated on a semi-annual bond equivalent basis and assume an investment term from September 6, 2006 to September 6, 2011, a term expected to be equal to that of the Notes.
(3) An investment in the Underlying Stocks is assumed to be equivalent to an investment in the Index, including the method and timing of reinvesting dividends, except that the Index will be reduced daily by the pro rata portion of the annual Index Adjustment Factor of 1.5%. The hypothetical investment in the Underlying Stocks presented in this column does not take into account transaction costs and taxes.
(4) The Starting Value was set to 100 on the Pricing Date.

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 and term of your investment.

 

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Adjustments to the Index; Market Disruption Events

If at any time the AMEX makes a material change in the formula for or the method of calculating the Index or in any other way materially modifies the Index so that the Index does not, in the opinion of the calculation agent, fairly represent the level of the Index had those changes or modifications not been made, then, from and after that time, the calculation agent will, at the close of business in New York, New York, on each date that the closing level of the Index is to be calculated, make those adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a calculation of a level of an index comparable to the Index as if those changes or modifications had not been made, and calculate the closing level with reference to the Index, as so adjusted. Accordingly, if the method of calculating the Index is modified so that the level of the Index is a fraction or a multiple of what it would have been if it had not been modified, then the calculation agent will adjust the Index in order to arrive at a level of the Index as if it had not been modified.

Market Disruption Event” means either of the following events as determined by the calculation agent:

 

  (A) the suspension of or material limitation on trading for more than two hours of trading, or during the one-half hour period preceding the close of trading, on the primary exchange on which the Underlying Stocks trade as determined by the calculation agent (without taking into account any extended or after-hours trading session), in 20% or more of the stocks which then comprise the Index or the successor index; or

 

  (B) the suspension of or material limitation on trading for more than two hours of trading, or during the one-half hour period preceding the close of trading, on any exchange (without taking into account any extended or after-hours trading session), whether by reason of movements in price otherwise exceeding levels permitted by the relevant exchange or otherwise, in option contracts or futures contracts related to one or more of the stocks which then comprise the Index or the successor index, the Index, or any successor index to the Index.

For the purpose of determining whether a Market Disruption Event has occurred:

 

  (1) a limitation on the hours in a trading day and/or number of days of trading will not constitute a Market Disruption Event if it results from an announced change in the regular business hours of the applicable exchange;

 

  (2) a suspension in trading in a futures or option contract on a stock which is then included in the Index by a major securities market by reason of (a) a price change violating limits set by that securities market, (b) an imbalance of orders relating to those contracts or (c) a disparity in bid and ask quotes relating to those contracts, will constitute a suspension of or material limitation on trading in futures or option contracts related to that stock;

 

  (3) a suspension of or material limitation on trading on the applicable exchange will not include any time when that exchange is closed for trading under ordinary circumstances; and

 

  (4) for the purpose of clause (A) above, any limitations on trading during significant market fluctuations under NYSE Rule 80B, or any applicable rule or regulation enacted or promulgated by the NYSE or any other self regulatory organization or the Securities and Exchange Commission of similar scope as determined by the calculation agent, will be considered “material”.

The occurrence of a Market Disruption Event could affect the calculation of the payment on the maturity date or upon exchange you will receive. See “—Payment on the Maturity Date” and “—Exchange of the Notes Prior to the Maturity Date” in this pricing supplement.

 

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Discontinuance of the Index

If the AMEX discontinues publication of the Index and the AMEX or another entity publishes a successor or substitute index that the calculation agent determines, in its sole discretion, to be comparable to the Index (a “successor index”), then, upon the calculation agent’s notification of that determination to the trustee and ML&Co., the calculation agent will substitute the successor index as calculated by the AMEX or any other entity for the Index and calculate the Ending Value as described above under “—Payment at Maturity” or “—Exchange of the Notes Prior to the Maturity Date”, as applicable. Upon any selection by the calculation agent of a successor index, ML&Co. will cause notice to be given to holders of the Notes.

In the event that the AMEX discontinues publication of the Index and:

 

    the calculation agent does not select a successor index; or

 

    the successor index is not published on any of the Calculation Days,

the calculation agent will compute a substitute level for the Index in accordance with the procedures last used to calculate the Index before any discontinuance. If a successor index is selected or the calculation agent calculates a level as a substitute for the Index as described below, the successor index or level will be used as a substitute for the Index for all purposes, including the purpose of determining whether a Market Disruption Event exists.

If the AMEX discontinues publication of the Index before the Calculation Period and the calculation agent determines that no successor index is available at that time, then on each Business Day until the earlier to occur of:

 

    the determination of the Ending Value; or

 

    a determination by the calculation agent that a successor index is available,

the calculation agent will determine the value that would be used in computing the Redemption Amount as described in the preceding paragraph as if that day were a Calculation Day. The calculation agent will cause notice of each value to be published not less often than once each month in The Wall Street Journal or another newspaper of general circulation and arrange for information with respect to these values to be made available by telephone.

Notwithstanding these alternative arrangements, discontinuance of the publication of the Index may adversely affect trading in the Notes.

A “Business Day” means any day on which the NYSE, the AMEX and the Nasdaq are open for trading.

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 a Note upon any acceleration permitted by the Notes, with respect to each $10 original public offering price per unit, will be equal to the Redemption Amount, if any, 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 at their stated maturity date or upon exchange or acceleration, from and after that date the Notes will bear interest, payable upon demand of their holders, at the then current Federal Funds Rate, reset daily, determined as described in the accompanying MTN prospectus supplement, to the extent that payment of 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.

 

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THE INDEX

The Index is a modified market capitalization-weighted index which reflects the price changes and dividends of a fixed basket of 23 stocks (the “Underlying Stocks”) less an annual Index Adjustment Factor. The Underlying Stocks are common stocks of companies that participate in various health care and health care-related businesses that may benefit from the continued aging of the generation of consumers commonly referred to as “baby boomers”. The level of the Index will be calculated and disseminated by the AMEX under the symbol “MLFOY”. The Index was set to 100 on the Pricing Date. On any Index Business Day, the level of the Index will equal (i) the sum of the products of the current market price for each of the Underlying Stocks and the applicable share multiplier, plus (ii) an amount reflecting Current Quarter Dividends (as defined below), and less (iii) a pro rata portion of the annual Index Adjustment Factor. The Index Adjustment Factor is 1.5% per annum and reduces the level of the Index each day by the pro rata amount. The AMEX will generally calculate and disseminate the level of the Index based on the most recently reported prices of the Underlying Stocks (as reported by the primary exchange or trading system on which the Underlying Stocks are listed or traded), at approximately 15-second intervals during the AMEX’s business hours and at the end of each Index Business Day via the Consolidated Tape Association’s Network B.

The table below lists the Underlying Stocks which are included in the Index and their respective symbol, current dividend yield and Share Multiplier (as defined below). We have also included a brief description of each of the companies issuing the Underlying Stock (“Underlying Company”) and their corresponding historical stock price information for the Underlying Stocks in Annex A to this pricing supplement.

 

Company

  

Industry Sector

   Ticker   
Capitalization(1)
   Hypothetical
Weighting(2)
  Dividend Yield(3)

Aflac Incorporated

   Financials    AFL      22,268,640,000      4.87%   1.16%

Allergan, Inc.

   Health Care    AGN      17,654,260,000      3.86%   0.35%

AMN Healthcare Services Inc.

   Health Care    AHS           775,014,000      0.17%   0.00%

Becton Dickinson and Company

   Health Care    BDX      16,949,800,000      3.73%   1.24%

Biomet, Inc.

   Health Care    BMET        7,959,458,000      1.76%   0.92%

Caremark Rx, Inc.

   Health Care    CMX      24,547,120,000      5.42%   0.70%

Community Health Systems, Inc.

   Health Care    CYH        3,676,654,000      0.79%   0.00%

CVS Corp.

   Consumer Staples    CVS      27,887,240,000      6.08%   0.46%

Eli Lilly and Company

   Health Care    LLY      63,370,160,000    10.00%   2.85%

The Estee Lauder Companies Inc.

   Consumer Staples    EL        7,803,230,000      1.67%   1.09%

Express Scripts, Inc.

   Health Care    ESRX      11,478,560,000      2.49%   0.00%

Health Care Property Investors, Inc. Inc.

   Financials    HCP        4,101,198,000      0.89%   5.69%

Laboratory Corp of America Holdings

   Health Care    LH        8,520,751,000      1.89%   0.00%

Medco Health Solutions Inc.

   Health Care    MHS      18,664,750,000      4.04%   0.00%

Medtronic, Inc.

   Health Care    MDT      53,755,500,000    10.00%   0.95%

Merck & Co., Inc.

   Health Care    MRK      88,786,040,000    10.00%   3.73%

Pfizer Inc.

   Health Care    PFE    202,191,900,000    10.00%   3.46%

Quest Diagnostics Inc.

   Health Care    DGX      12,628,310,000      2.79%   0.62%

Stericycle, Inc.

   Industrials    SRCL        2,952,456,000      0.65%   0.00%

Stryker Corporation

   Health Care    SYK      19,555,500,000      4.34%   0.23%

Ventas, Inc.

   Financials    VTR        4,113,758,000      0.88%   3.99%

Walgreen Co.

   Consumer Staples    WAG      49,664,450,000    10.00%   0.63%

Zimmer Holdings, Inc.

   Health Care    ZMH      16,540,680,000      3.67%   0.00%

(1) As obtained from Bloomberg on August 30, 2006.
(2) Determined on August 30, 2006.
(3) As obtained from Bloomberg on August 30, 2006. The average dividend yield for the Index as of August 30, 2006 is 1.49%.

A weighting was assigned to each Underlying Stock on the Pricing Date based upon the market capitalization of that stock relative to the other Underlying Stocks, subject to a maximum weighting for any single stock of no more than 10% of the aggregate market capitalization of the Underlying Stocks (the “Baby Boomer Consumption Portfolio”). The market capitalization will be the product of the total number of shares outstanding for the Underlying Stock and the closing market price for that stock on the Pricing Date or Annual Determination Date (as defined below). The aggregate amount, if any, by which all Underlying Stocks are reduced due to this limitation will be redistributed proportionately across the remaining

 

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stocks that represent less than 10% of the aggregate market capitalization. If any other stock comes to exceed this 10% limit as a result of that redistribution, the weights for that stock will be set to 10% of the aggregate market capitalization, and the redistribution will be repeated. The “Share Multiplier” for each Underlying Stock was determined on the Pricing Date. Each Share Multiplier will be determined by using the weighting of each Underlying Stock fixed two days prior to the Pricing Date or an annual Rebalancing Date (as defined below) and the applicable closing prices of that Underlying Stock observed on the Pricing Date or annual Rebalancing Date, as applicable. After the Pricing Date, each Share Multiplier will remain constant until adjusted for quarterly dividends, annual rebalancing or certain corporate events, each as described below.

Annual Baby Boomer Consumption Portfolio Rebalancing

The Index will be rebalanced as of the close of business on the last Business Day of June of each year (each a “Rebalancing Date”) during the term of the Notes based on the market capitalization of the Underlying Stocks on the date two Business Days prior to the Rebalancing Date (the “Annual Determination Date”); provided, that if the date is not a Business Day or a Market Disruption Event occurs on that date, then the Index will be rebalanced on the immediately succeeding Business Day on which a Market Disruption Event does not occur. The weighting of the Underlying Stocks will be rebalanced on the Rebalancing Date based upon the market capitalization of that stock relative to the other Underlying Stocks, subject to a maximum weighting for any single stock of no more than 10% of the Baby Boomer Consumption Portfolio, as described above. The Share Multiplier for each Underlying Stock will be adjusted on each Rebalancing Date based on the new weighting for each Underlying Stock.

Dividends

As described above, the level of the Index will include an amount reflecting Current Quarter Dividends. “Current Quarter Dividends” for any day will be determined by the AMEX and will equal the sum of the products for each Underlying Stock of the cash dividend paid by an issuer on one share of stock during the Current Quarter multiplied by the Share Multiplier applicable to that stock on the ex-dividend date. “Current Quarter” shall mean the period from and including the Pricing Date, to and including September 30, 2006, for the initial period and thereafter, the calendar quarter containing the day for which the applicable Current Quarter Dividends are being determined.

As of the first day of the start of each calendar quarter, the AMEX will allocate the Current Quarter Dividends as of the end of the immediately preceding calendar quarter to each then outstanding Underlying Stock. The amount of the Current Quarter Dividends allocated to each Underlying Stock will equal the percentage of the value of each Underlying Stock contained in the Baby Boomer Consumption Portfolio relative to the value of the entire Baby Boomer Consumption Portfolio based on the closing market price on the last Index Business Day in the immediately preceding calendar quarter. The Share Multiplier of each outstanding Underlying Stock will be increased to reflect the number of shares, or portion of a share, that the amount of the Current Quarter Dividend allocated to such Underlying Stock can purchase of each such Underlying Stock based on the closing market price on the last Index Business Day in the immediately preceding calendar quarter.

Adjustments to the Share Multiplier and Baby Boomer Consumption Portfolio

The Share Multiplier for any Underlying Stock will be adjusted as follows:

1. If an Underlying Stock is subject to a stock split or reverse stock split, then once the split has become effective, the Share Multiplier for that Underlying Stock will be adjusted to equal the product of the number of shares of that Underlying Stock issued in the split and the prior multiplier.

2. If an Underlying Stock is subject to a stock dividend, issuance of additional shares of the Underlying Stock , that is given equally to all holders of shares of the issuer of that Underlying Stock, then once the dividend has become effective and that Underlying Stock is trading ex-dividend, the Share Multiplier will be adjusted so that the new Share Multiplier shall equal the former Share Multiplier plus the product of the number of shares of that Underlying Stock issued with respect to one such share of that Underlying Stock and the prior multiplier.

3. If an Underlying Company is being liquidated or is subject to a proceeding under any applicable bankruptcy, insolvency or other similar law, that Underlying Stock will continue to be included in the Baby Boomer Consumption Portfolio so long as a market price for that Underlying Stock is available. If a market price is no longer available for an Underlying Stock for whatever reason, including the liquidation of the issuer of the Underlying Stock or the subjection of the issuer of the Underlying Stock to a proceeding under any applicable bankruptcy, insolvency or other similar law, then the value of that Underlying Stock will equal zero in connection with calculating the Baby Boomer Consumption Portfolio for so

 

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long as no market price is available, and no attempt will be made to find a replacement stock or increase the value of the Baby Boomer Consumption Portfolio to compensate for the deletion of that Underlying Stock. If a market price is no longer available for an Underlying Stock as described above, the Baby Boomer Consumption Portfolio will be computed based on the remaining Underlying Stocks for which market prices are available and no new stock will be added to the Baby Boomer Consumption Portfolio. As a result, the Baby Boomer Consumption Portfolio may contains fewer than 23 Underlying Stocks.

4. If an Underlying Company has been subject to a merger or consolidation and is not the surviving entity or is nationalized, then a value for that Underlying Stock will be determined at the time the issuer is merged or consolidated or nationalized and will equal the last available market price for that Underlying Stock and that value will be constant until the Baby Boomer Consumption Portfolio is rebalanced. At that time, no adjustment will be made to the Share Multiplier of the relevant Underlying Stock.

5. If an Underlying Company issues to all of its shareholders equity securities that are publicly traded of an issuer other than the Underlying Company, or a tracking stock is issued by an Underlying Company to all of its shareholders, then the new equity securities will be added to the Baby Boomer Consumption Portfolio as a new Underlying Stock. The Share Multiplier for the new Underlying Stock will equal the product of the original Share Multiplier with respect to the Underlying Stock for which the new Underlying Stock is being issued (the “Original Underlying Stock”) and the number of shares of the new Underlying Stock issued with respect to one share of the Original Underlying Stock.

No adjustments of any Share Multiplier of an Underlying Stock will be required unless the adjustment would require a change of at least 1% in the Share Multiplier then in effect. The Share Multiplier resulting from any of the adjustments specified above will be rounded to the nearest ten-thousandth with five hundred-thousandths being rounded upward.

The AMEX expects that no adjustments to the Share Multiplier of any Underlying Stock or to the Baby Boomer Consumption Portfolio will be made other than those specified above; however, the AMEX may at its discretion make adjustments to maintain the value of the Index if certain events would otherwise alter the value of the Index despite no change in the market prices of the Underlying Stocks.

We have derived all information regarding the AMEX from publicly available sources. Such information reflects the policies of, and is subject to change without notice by, the AMEX. We make no representation or warranty as to the accuracy or completeness or such information.

 

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Hypothetical Historical Data on the Index

The following chart sets forth the hypothetical historical month-end closing levels of the Index from June 2001 through June 2006 based on historical levels of the Underlying Stocks, historical dividends on the Underlying Stocks, an Index Adjustment Factor of 1.5% and assuming an Index level of 100 on June 29, 2001. All hypothetical historical data presented in the following chart were calculated by the AMEX. These hypothetical closing levels have been calculated on the same basis that the Index is calculated. Any historical upward or downward trend in the level of the Index during this period is not an indication that the Index is more or less likely to increase or decrease at any time during the term of the Notes.

 

     2001    2002    2003    2004    2005    2006

January

      95.92    87.77    112.43    114.01    130.27

February

      96.47    87.12    115.63    117.28    129.77

March

      99.01    90.08    112.21    116.27    127.80

April

      97.00    93.64    118.25    120.27    126.33

May

      96.86    94.46    118.72    122.33    123.88

June

   100.00    92.56    98.05    120.67    122.00    127.18

July

   100.87    86.62    99.14    113.44    125.22   

August

   96.62    86.92    98.72    112.94    123.47   

September

   95.73    83.42    96.61    110.91    120.00   

October

   91.78    88.21    102.63    108.41    118.30   

November

   96.00    89.35    105.32    110.02    121.29   

December

   95.25    87.59    108.57    114.15    125.52   

The following graph sets forth the historical performance of the Index presented in the table above. Past movements of the Index are not necessarily indicative of the future Index levels.

LOGO

 

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UNITED STATES FEDERAL INCOME TAXATION

Set forth in full below is the opinion of Sidley Austin LLP, counsel to ML&Co. (“Tax Counsel”). As the law applicable to the U.S. federal income taxation of instruments such as the Notes is technical and complex, the discussion below necessarily represents only a general summary. The following discussion is based upon laws, regulations, rulings and decisions now in effect, all of which are subject to change (including changes in effective dates) or possible differing interpretations. The discussion below supplements the discussion set forth under the section entitled “United States Federal Income Taxation” that is contained in the accompanying MTN prospectus supplement and supersedes that discussion to the extent that it contains information that is inconsistent with that which is contained in the accompanying MTN prospectus supplement. 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, tax-exempt entities or persons holding Notes in a tax-deferred or tax-advantaged account (except to the extent specifically discussed below), dealers in securities or currencies, traders in securities that elect to mark to market, persons subject to the alternative minimum tax, 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, or persons whose functional currency is not the United States dollar. It also does not deal with holders other than original purchasers. If a partnership holds the Notes, the tax treatment of a partner in the partnership will generally depend upon 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 U.S. 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 herein, the term “U.S. Holder” means a beneficial owner of a Note that is for U.S. federal income tax purposes (i) a citizen or resident of the United States, (ii) a corporation or a partnership (including an entity treated as a corporation or a partnership for U.S. federal income tax purposes) that is created or organized in or under the laws of the United States, any state thereof or the District of Columbia (unless, in the case of a partnership, Treasury regulations are adopted that provide otherwise), (iii) an estate the income of which is subject to U.S. federal income tax regardless of its source, (iv) 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 (v) 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. Certain trusts not described in clause (iv) above in existence on August 20, 1996, that elect to be treated as United States persons will also be U.S. Holders for purposes of the following discussion. 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 and treatment, for U.S. federal income tax purposes, of the Notes or securities with terms substantially the same as the Notes. Accordingly, the proper U.S. federal income tax characterization and treatment of the Notes is uncertain. Pursuant to the terms of the Notes, ML&Co. and every holder of a Note agree (in the absence of an administrative determination, judicial ruling or other authoritative guidance to the contrary) to characterize and treat each Note for all tax purposes as a pre-paid cash-settled forward contract linked to the level of the Index. In the opinion of Tax Counsel, this characterization and tax treatment of the Notes, although not the only reasonable characterization and tax treatment, is based on reasonable interpretations of law currently in effect and, even if successfully challenged by the Internal Revenue Service (the “IRS”), will not result in the imposition of penalties. The characterization and tax treatment of the Notes described above is not, however, binding on the IRS or the courts. No statutory, judicial or administrative authority directly addresses the characterization and treatment of the Notes or instruments similar to the Notes for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to the Notes.

Due to the absence of authorities that directly address instruments that are similar to the Notes, significant aspects of the U.S. federal income tax consequences of an investment in the Notes are not certain, and no assurance can be given that the IRS or the courts will agree with the characterization and tax treatment described above. Accordingly, prospective purchasers are urged to consult their own tax advisors regarding the U.S. federal income tax consequences of an investment in the Notes (including alternative characterizations and tax treatments of the Notes) and with respect to any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction. Unless otherwise stated, the following discussion is based on the assumption that the characterization and treatment described above is accepted for U.S. federal income tax purposes.

 

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Tax Treatment of the Notes

Assuming the characterization and tax treatment of the Notes as set forth above, Tax Counsel believes that the following U.S. federal income tax consequences should result.

Tax Basis. A U.S. Holder’s tax basis in a Note will equal the amount paid by the U.S. Holder to acquire the Note.

Payment on the Maturity Date. Upon the receipt of cash on the maturity date of the Notes, a U.S. Holder will recognize gain or loss. The amount of that gain or loss will be the extent to which the amount of the cash received differs from the U.S. Holder’s tax basis in the Note. It is uncertain whether any such gain or loss would be treated as ordinary income or loss or capital gain or loss. Absent a future clarification in current law (by an administrative determination, judicial ruling or otherwise), where required, ML&Co. intends to report any such gain or loss to the IRS in a manner consistent with the treatment of that gain or loss as capital gain or loss. If that gain or loss is treated as capital gain or loss, then any gain or loss will generally be long-term capital gain or loss if the U.S. Holder has held the Note for more than one year as of the maturity date. The deductibility of capital losses is subject to certain limitations.

Sale or Exchange of the Notes. Upon a sale or exchange of a Note prior to the maturity date of the Notes, a U.S. Holder will generally recognize capital gain or loss in an amount equal to the difference between the amount realized on that sale or exchange and that U.S. Holder’s tax basis in the Note so sold or exchanged. Any such capital gain or loss will generally be long-term capital gain or loss if the U.S. Holder has held the Note for more than one year at the time of the sale or exchange. As discussed above, the deductibility of capital losses is subject to certain limitations.

Possible Alternative Tax Treatments of an Investment in the Notes

Due to the absence of authorities that directly address the proper characterization and tax treatment of the Notes, no assurance can be given that the IRS will accept, or that a court will uphold, the characterization and tax treatment of the Notes described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Notes under Treasury regulations governing contingent payment debt instruments (the “CPDI Regulations”).

If the IRS were successful in asserting that the CPDI Regulations applied to the Notes, the timing and character of income, gain or loss recognized with respect to the Notes would significantly differ from the timing and character of income, gain or loss described above. Among other things, a U.S. Holder would be required to accrue original issue discount on the Notes every year at a “comparable yield” for us, determined at the time of issuance of the Notes. Furthermore, any gain realized on the maturity date or upon a sale or exchange of the Notes prior to the maturity date would generally be treated as ordinary income, and any loss would be generally treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue discount and capital loss thereafter.

In addition to the potential applicability of the CPDI Regulations to the Notes, other alternative U.S. federal income tax characterizations or treatments of the Notes may also be possible, and if applied could also affect the timing and the character of the income or loss with respect to the Notes. Accordingly, prospective purchasers are urged to consult their tax advisors regarding the U.S. federal income tax consequences of an investment in the Notes.

Constructive Ownership Law

Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”), treats a taxpayer owning certain types of derivative positions in property as having “constructive ownership” of that property, with the result that all or a portion of any long-term capital gain recognized by that taxpayer with respect to the derivative position will be recharacterized as ordinary income. In its current form, Section 1260 of the Code does not apply to the Notes. If Section 1260 of the Code were to apply to the Notes in the future, however, the effect on a U.S. Holder of a Note would be to treat all or a portion of any long-term capital gain recognized by that U.S. Holder on the sale, exchange or maturity of a Note as ordinary income. In addition, Section 1260 of the Code would impose an interest charge on any gain that was recharacterized. U.S. Holders should consult their tax advisors regarding the potential application of Section 1260 of the Code, if any, to the purchase, ownership and disposition of a Note.

 

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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. As discussed above, the U.S. federal income tax characterization and treatment of the Notes is uncertain. Nevertheless, in general, if the Notes are held for investment purposes, the amount of income or gain, if any, realized on the maturity date or upon a sale or exchange of a Note prior to the maturity date, or any income that would accrue to a holder of a Note if the Notes were characterized and treated as contingent payment debt instruments (as discussed above), 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

Based on the characterization and tax treatment of each Note as a pre-paid cash-settled forward contract linked to the level of the Index, in the case of a non-U.S. Holder, a payment made with respect to a Note on the maturity date or upon a sale or exchange will not be subject to United States withholding tax, provided that the non-U.S. Holder complies with applicable certification requirements and that the payment is not effectively connected with a United States trade or business of the non-U.S. Holder. Any capital gain realized on the maturity date or upon the sale or exchange of a Note by a non-U.S. Holder will generally not be subject to U.S. federal income tax if (i) that gain is not effectively connected with a United States trade or business of the non-U.S. Holder and (ii) in the case of an individual non-U.S. Holder, the individual is not present in the United States for 183 days or more in the taxable year of the maturity date, sale or exchange, or the gain is not attributable to a fixed place of business maintained by the individual in the United States, and the individual does not have a “tax home” (as defined for U.S. federal income tax purposes) in the United States.

As discussed above, alternative characterizations and tax treatments of the Notes for U.S. federal income tax purposes are possible. Should an alternative characterization and tax treatment of the Notes, by reason of a change or clarification of the law, by regulation or otherwise, cause payments with respect to the Notes to become subject to withholding tax, ML&Co. will withhold tax at the applicable statutory rate. Prospective non-U.S. Holders of the Notes should consult their own tax advisors in this regard.

Backup Withholding

A beneficial owner of a Note may be subject to backup withholding at the applicable statutory rate of U.S. federal income tax on certain amounts paid to the beneficial owner unless the beneficial owner provides proof of an applicable exemption or a correct taxpayer identification number, and otherwise complies with applicable requirements of the backup withholding rules.

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 U.S. federal income tax provided the required information is furnished to the IRS.

 

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ERISA CONSIDERATIONS

Each fiduciary of a pension, profit-sharing or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) (a “Plan”), should consider the fiduciary standards of ERISA in the context of the Plan’s particular circumstances before authorizing an investment in the securities. 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.

In addition, we and certain of our subsidiaries and affiliates, including MLPF&S, may be each considered a party in interest within the meaning of ERISA, or a disqualified person within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to many Plans, as well as many individual retirement accounts and Keogh plans (also “Plans”). Prohibited transactions within the meaning of ERISA or the Code would likely arise, for example, if the securities are acquired by or with the assets of a Plan with respect to which MLPF&S or any of its affiliates is a party in interest, unless the securities are acquired pursuant to an exemption from the prohibited transaction rules. A violation of these prohibited transaction rules could result in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for such persons, unless exemptive relief is available under an applicable statutory or administrative exemption.

Under ERISA and various prohibited transaction class exemptions (“PTCEs”) issued by the U.S. Department of Labor, exemptive relief may be available for direct or indirect prohibited transactions resulting from the purchase, holding or disposition of the securities. Those exemptions are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts), PTCE 84-14 (for certain transactions determined by independent qualified asset managers), and the exemption under new Section 408(b)(17) of ERISA and new Section 4975(d)(20) of the Code for certain arm’s-length transactions with a person that is a party in interest solely by reason of providing services to Plans or being an affiliate of such a service provider (the “Service Provider Exemption”).

Because we may be considered a party in interest with respect to many Plans, the securities may not be purchased, held or disposed of by any Plan, any entity whose underlying assets include plan assets by reason of any Plan’s investment in the entity (a “Plan Asset Entity”) or any person investing plan assets of any Plan, unless such purchase, holding or disposition is eligible for exemptive relief, including relief available under PTCE 96-23, 95-60, 91-38, 90-1, or 84-14 or the Service Provider Exemption, or such purchase, holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee or holder of the securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding of the securities that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such securities on behalf of or with plan assets of any Plan or with any assets of a governmental, church or foreign plan that is subject to any federal, state, local or foreign law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code or (b) its purchase, holding and disposition are eligible for exemptive relief or such purchase, holding and disposition are not prohibited by ERISA or Section 4975 of the Code (or in the case of a governmental, church or foreign plan, any substantially similar federal, state, local or foreign law).

Under ERISA, assets of a Plan may include assets held in the general account of an insurance company which has issued an insurance policy to such plan or assets of an entity in which the Plan has invested. Accordingly, insurance company general accounts that include assets of a Plan must ensure that one of the foregoing exemptions is available. Due to the complexity of these rules and the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan consult with their counsel regarding the availability of exemptive relief under PTCE 96-23, 95-60, 91-38, 90-1 or 84-14 or the Service Provider Exemption.

Purchasers of the securities have exclusive responsibility for ensuring that their purchase, holding and disposition of the securities do not violate the prohibited transaction rules of ERISA or the Code or any similar regulations applicable to governmental or church plans, as described above.

 

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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 general prospectus supplement and to hedge market risks of ML&Co. associated with its obligation to pay the Redemption Amount or Exchange 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 prices basis at the offering price 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.

ML&Co. has entered into an arrangement with one of its subsidiaries to hedge the market risks associated with ML&Co.’s obligation to pay the Redemption Amount or Exchange Amount, as applicable. In connection with this arrangement, this subsidiary will pay MLPF&S $.10 per unit as part of its underwriting fee.

The Notes are ineligible assets in MLPF&S’ asset-based brokerage service Unlimited Advantage, which means that purchasers will not pay Unlimited Advantage annual asset-based fees on the Notes but will pay commissions on any secondary market purchases and sales of the Notes.

In addition to the compensation paid at the time of the original sale of the Notes, MLPF&S will pay an additional amount on each anniversary of the Pricing Date from 2007 through 2010 to brokers whose clients purchased the units in the initial distribution and who continue to hold their Notes. This additional amount will equal 1% per unit based on the Redemption Amount of the Notes calculated as if the applicable anniversary of the Pricing Date was the stated maturity date. Also, MLPF&S may from time to time pay additional amounts to brokers whose clients purchased Notes in the secondary market and continue to hold those Notes.

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.

With respect to the unaudited interim condensed consolidated financial information for the three-month periods ended March 31, 2006 and April 1, 2005 and the three-month and six-month periods ended June 30, 2006 and July 1, 2005 which is incorporated herein by reference, Deloitte & Touche LLP, an independent registered public accounting firm, have applied limited procedures in accordance with the standards of the Public Company Accounting Oversight Board (United States) for a review of such information. However, as stated in their reports included in Merrill Lynch & Co., Inc.’s Quarterly Report on Form 10-Q for the quarters ended March 31, 2006 and June 30, 2006 and incorporated by reference herein, they did not audit and they do not express an opinion on that unaudited interim condensed consolidated financial information. Accordingly, the degree of reliance on their reports on such information should be restricted in light of the limited nature of the review procedures applied. Deloitte & Touche LLP are not subject to the liability provisions of Section 11 of the Securities Act of 1933 for their reports on the unaudited interim condensed consolidated financial information because those reports are not “reports” or a “part” of the registration statement prepared or certified by an accountant within the meaning of Sections 7 and 11 of the Act.

 

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INDEX OF CERTAIN DEFINED TERMS

 

     Page

AMEX

   PS-3

Annual Determination Date

   PS-16

Baby Boomer Consumption Portfolio

   PS-15

Banking Business Day

   PS-11

Business Day

   PS-14

Calculation Day

   PS-10

Calculation Period

   PS-10

Current Quarter

   PS-16

Current Quarter Dividends

   PS-16

Ending Value

   PS-4

Exchange Amount

   PS-4

Exchange Date

   PS-11

Exchange Notice Period

   PS-11

Index

   PS-1

Index Adjustment Factor

   PS-4

Index Business Day

   PS-10

Market Disruption Event

   PS-13

Notes

   PS-1

Original Underlying Stock

   PS-17

Pricing Date

   PS-3

Redemption Amount

   PS-4

Share Multiplier

   PS-16

Starting Value

   PS-4

successor index

   PS-14

Underlying Company

   PS-15

Underlying Stocks

   PS-3

 

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ANNEX A

This annex contains tables which provide a brief synopsis of the business of each of the Underlying Stocks as well as the split-adjusted month-end closing market prices in U.S. dollars for each Underlying Stock in each month from January 2001 through July 2006 (or from the first month-end for which that data is available) as of August 30, 2006. The historical prices of the Underlying Stocks are not indicative of the future performance of the Underlying Stocks. The following information, with respect to the business of each company issuing an Underlying Stock, has been derived from publicly available documents published by that company. Because the common stock of each of those companies is registered under the Securities Exchange Act of 1934, those companies are required to file periodically financial and other information specified by the Securities Exchange Commission (the “SEC”). For more information about those companies, information provided to or filed with the SEC by those companies can be inspected at the SEC’s public reference facilities or accessed through the SEC’s web site at http://www.sec.gov.

AFLAC INCORPORATED

Aflac Incorporated’s principal business is supplemental health and life insurance, which is marketed and administered through its subsidiary, American Family Life Assurance Company of Columbus (Aflac), which operates in the United States (Aflac U.S.) and as a branch in Japan (Aflac Japan). Most of Aflac’s policies are individually underwritten and marketed through independent agents. Aflac Japan sells cancer plans, care plans, general medical expense plans, medical/sickness riders, a living benefit life plan, ordinary life insurance plans and annuities. Aflac U.S. sells cancer plans and various types of health insurance, including accident/disability, fixed-benefit dental, personal sickness and hospital indemnity, vision care, hospital intensive care, long-term care, ordinary life, and short-term disability plans.

 

2001

   Closing
Price
  

2002

   Closing
Price
  

2003

   Closing
Price
  

2004

   Closing
Price
  

2005

   Closing
Price
  

2006

   Closing
Price

January

   29.49    January    26.12    January    32.39    January    36.88    January    39.51    January    46.95

February

   30.08    February    25.70    February    31.25    February    40.61    February    38.33    February    46.25

March

   27.54    March    29.50    March    32.05    March    40.14    March    37.26    March    45.13

April

   31.80    April    29.90    April    32.71    April    42.23    April    40.65    April    47.54

May

   32.43    May    32.16    May    32.91    May    40.60    May    41.55    May    46.80

June

   31.49    June    32.00    June    30.75    June    40.81    June    43.28    June    46.35

July

   29.58    July    31.41    July    32.08    July    39.64    July    45.10    July    44.14

August

   27.52    August    30.61    August    32.01    August    40.10    August    43.22      

September

   27.00    September    30.69    September    32.30    September    39.21    September    45.30      

October

   24.46    October    30.44    October    36.48    October    35.88    October    47.78      

November

   27.40    November    30.85    November    35.97    November    37.62    November    48.00      

December

   24.56    December    30.12    December    36.18    December    39.84    December    46.42      

 

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ALLERGAN, INC.

Allergan, Inc. is a technology-driven, global health care company that develops and commercializes specialty pharmaceutical products for the ophthalmic, neurological, medical aesthetics, medical dermatological and other specialty markets. Allergan conducts specialty pharmaceutical research, targeting products and technologies related to specific disease areas such as glaucoma, retinal disease, dry eye, psoriasis, acne and movement disorders. Additionally, it develops and markets aesthetic-related pharmaceuticals and over-the-counter products.

 

2001

   Closing
Price
  

2002

   Closing
Price
  

2003

   Closing
Price
  

2004

   Closing
Price
   2005    Closing
Price
   2006    Closing
Price

January

   78.76    January    64.31    January    60.67    January    82.85    January    75.95    January    116.40

February

   83.77    February    62.47    February    64.20    February    87.54    February    75.18    February    108.26

March

   71.44    March    62.28    March    68.21    March    84.16    March    69.47    March    108.50

April

   73.22    April    63.50    April    70.25    April    88.05    April    70.39    April    102.72

May

   86.42    May    60.79    May    72.11    May    88.90    May    77.31    May    94.82

June

   80.95    June    64.31    June    77.10    June    89.52    June    85.24    June    107.26

July

   72.53    July    60.49    July    80.48    July    75.64    July    89.37    July    107.85

August

   69.60    August    58.72    August    79.46    August    74.65    August    92.05      

September

   63.87    September    54.40    September    78.73    September    72.55    September    91.62      

October

   69.16    October    54.45    October    75.62    October    71.56    October    89.30      

November

   72.73    November    58.79    November    74.73    November    73.50    November    100.00      

December

   72.30    December    57.62    December    76.81    December    81.07    December    107.96      

AMN HEALTHCARE SERVICES INC.

AMN Healthcare Services, Inc. “AMN”, is the largest temporary healthcare staffing company in the United States. AMN provide travel nurse staffing services, temporary physician staffing and physician permanent placement services, recruiting physicians, nurses and allied health professionals, nationally and internationally and placing them on variable lengths of assignments and in permanent positions at acute-care hospitals, physician practice groups and other healthcare facilities throughout the United States.

 

2001

   Closing
Price
  

2002

   Closing
Price
  

2003

   Closing
Price
  

2004

   Closing
Price
  

2005

   Closing
Price
  

2006

   Closing
Price

January

      January    23.40    January    16.30    January    19.20    January    14.33    January    20.17

February

      February    26.25    February    11.37    February    18.22    February    13.53    February    20.74

March

      March    26.90    March    10.98    March    18.35    March    15.91    March    18.72

April

      April    30.81    April    9.10    April    16.28    April    14.77    April    19.22

May

      May    34.97    May    11.40    May    15.20    May    14.44    May    19.68

June

      June    35.01    June    12.70    June    15.29    June    15.03    June    20.30

July

      July    28.45    July    14.20    July    12.90    July    16.91    July    22.46

August

      August    24.30    August    16.50    August    11.56    August    15.46      

September

      September    18.50    September    16.24    September    11.95    September    15.47      

October

      October    14.46    October    15.12    October    11.80    October    16.50      

November

   26.00    November    18.08    November    16.98    November    16.00    November    19.05      

December

   27.40    December    16.91    December    17.16    December    15.91    December    19.78      

 

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BECTON DICKINSON AND COMPANY

Becton Dickinson and Company is a medical technology company engaged principally in the manufacture and sale of a broad range of medical supplies, devices, laboratory equipment and diagnostic products used by healthcare institutions, life science researchers, clinical laboratories, industry and the general public.

 

2001

   Closing
Price
  

2002

   Closing
Price
  

2003

   Closing
Price
  

2004

   Closing
Price
  

2005

   Closing
Price
  

2006

   Closing
Price

January

   34.38    January    36.22    January    32.80    January    45.06    January    56.65    January    64.80

February

   35.98    February    36.69    February    34.40    February    48.65    February    59.87    February    63.85

March

   35.32    March    37.72    March    34.44    March    48.48    March    58.42    March    61.58

April

   32.35    April    37.17    April    35.40    April    50.55    April    58.52    April    63.04

May

   34.33    May    37.60    May    40.00    May    50.32    May    57.45    May    60.43

June

   35.79    June    34.45    June    38.85    June    51.80    June    52.47    June    61.13

July

   34.56    July    29.06    July    36.63    July    47.23    July    55.37    July    65.92

August

   35.93    August    30.53    August    36.54    August    48.12    August    52.63      

September

   37.00    September    28.40    September    36.12    September    51.70    September    52.43      

October

   35.80    October    29.51    October    36.56    October    52.50    October    50.75      

November

   33.87    November    29.67    November    40.03    November    54.78    November    58.23      

December

   33.15    December    30.69    December    41.14    December    56.80    December    60.08      

BIOMET, INC.

Biomet, Inc. and its subsidiaries design, manufacture and market products used primarily by musculoskeletal medical specialists in both surgical and non-surgical therapy. The company’s product portfolio encompasses reconstructive products, fixation devices, spinal products and other products.

 

2001

   Closing
Price
  

2002

   Closing
Price
  

2003

   Closing
Price
  

2004

   Closing
Price
  

2005

   Closing
Price
  

2006

   Closing
Price

January

   22.46    January    32.29    January    27.94    January    38.66    January    42.48    January    37.81

February

   25.88    February    30.56    February    30.23    February    38.98    February    42.22    February    36.40

March

   26.26    March    27.06    March    30.65    March    38.36    March    36.30    March    35.52

April

   28.49    April    28.23    April    30.46    April    39.50    April    38.69    April    37.18

May

   29.78    May    28.23    May    27.51    May    40.12    May    37.68    May    35.17

June

   32.04    June    27.12    June    28.70    June    44.44    June    34.63    June    31.29

July

   32.37    July    25.93    July    29.65    July    43.99    July    38.13    July    32.94

August

   27.63    August    26.86    August    29.76    August    45.65    August    36.89      

September

   29.25    September    26.63    September    33.50    September    46.88    September    34.71      

October

   30.50    October    29.46    October    35.86    October    46.68    October    34.83      

November

   27.99    November    27.50    November    35.78    November    47.87    November    35.63      

December

   30.90    December    28.66    December    36.22    December    43.39    December    36.57      

 

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CAREMARK RX, INC.

Caremark Rx, Inc. is one of the largest pharmaceutical services companies in the United States, whose customers are primarily sponsors of health benefit plans (employers, unions, government employee groups, insurance companies and managed care organizations) and individuals located throughout the United States. The company generates substantially all of its net revenue from dispensing prescription drugs to eligible participants in benefit plans maintained by its customers.

 

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January

   12.60    January    16.50    January    19.60    January    26.75    January    39.10    January    49.30

February

   14.00    February    17.45    February    17.46    February    32.26    February    38.28    February    49.75

March

   13.04    March    19.50    March    18.15    March    33.25    March    39.78    March    49.18

April

   15.85    April    21.50    April    19.91    April    33.85    April    40.05    April    45.55

May

   16.28    May    19.34    May    22.58    May    31.20    May    44.66    May    47.97

June

   16.45    June    16.50    June    25.68    June    32.94    June    44.52    June    49.87

July

   17.58    July    15.70    July    25.02    July    30.50    July    44.58    July    52.80

August

   17.47    August    16.20    August    25.13    August    28.70    August    46.73      

September

   16.68    September    17.00    September    22.60    September    32.07    September    49.93      

October

   13.40    October    17.70    October    25.05    October    29.97    October    52.40      

November

   15.00    November    17.66    November    26.70    November    35.76    November    51.39      

December

   16.31    December    16.25    December    25.33    December    39.43    December    51.79      

COMMUNITY HEALTH SYSTEMS, INC.

Community Health Systems, Inc. is a non-urban provider of general hospital healthcare services in the United States. As of December 31, 2005, it owned, leased or operated 70 hospitals, geographically diversified across 21 states, with an aggregate of 7,974 licensed beds, excluding one hospital held for sale. The company target hospitals in growing, non-urban healthcare markets.

 

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January

   25.06    January    23.49    January    19.02    January    28.26    January    28.98    January    36.39

February

   28.15    February    22.30    February    18.75    February    28.05    February    32.37    February    37.92

March

   28.50    March    22.11    March    20.49    March    27.83    March    34.91    March    36.15

April

   28.54    April    29.02    April    19.00    April    25.79    April    36.45    April    36.24

May

   25.51    May    29.44    May    20.83    May    25.50    May    36.37    May    37.70

June

   29.50    June    26.80    June    19.29    June    26.77    June    37.79    June    36.75

July

   32.00    July    24.75    July    22.20    July    24.61    July    38.61    July    36.26

August

   31.25    August    23.90    August    22.99    August    25.00    August    36.83      

September

   29.74    September    26.63    September    21.70    September    26.68    September    38.81      

October

   25.00    October    23.50    October    24.02    October    26.82    October    37.11      

November

   25.61    November    20.55    November    27.08    November    27.65    November    40.09      

December

   25.50    December    20.59    December    26.58    December    27.88    December    38.34      

 

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CVS CORP.

CVS Corporation operates 5,471 retail and specialty pharmacy stores in 37 states and the District of Columbia. The company’s operations are grouped into two businesses: Retail Pharmacy and Pharmacy Benefit Management (“PBM”). As of December 31, 2005, the Retail Pharmacy business included 5,420 retail drugstores, of which 5,367 operated a pharmacy, and its online retail website, CVS.com. The PBM business provides a full range of prescription benefit management services to managed care and other organizations.

 

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January

   29.60    January    13.60    January    11.31    January    17.86    January    23.18    January    27.76

February

   30.50    February    13.66    February    12.45    February    18.75    February    24.92    February    28.33

March

   29.25    March    17.17    March    11.93    March    17.65    March    26.31    March    29.87

April

   29.48    April    16.74    April    12.11    April    19.32    April    25.79    April    29.72

May

   27.45    May    16.02    May    13.05    May    20.84    May    27.43    May    27.90

June

   19.30    June    15.30    June    14.02    June    21.01    June    29.07    June    30.70

July

   18.01    July    14.30    July    15.00    July    20.94    July    31.03    July    32.72

August

   18.06    August    14.70    August    16.30    August    20.00    August    29.37      

September

   16.60    September    12.68    September    15.53    September    21.07    September    29.01      

October

   11.95    October    13.87    October    17.59    October    21.73    October    24.41      

November

   13.48    November    13.44    November    18.73    November    22.69    November    27.02      

December

   14.80    December    12.49    December    18.06    December    22.54    December    26.42      

ELI LILLY AND COMPANY

Eli Lilly and Company discovers, develops, manufactures, and sells products in one significant business segment — pharmaceutical products. The company also have an animal health business segment, whose operations are not material to its financial statements. It manufactures and distributes its products through owned or leased facilities in the United States, Puerto Rico, and 26 other countries.

 

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January

   78.80    January    75.10    January    60.24    January    68.04    January    54.24    January    56.62

February

   79.46    February    75.73    February    56.56    February    73.94    February    56.00    February    55.62

March

   76.66    March    76.20    March    57.15    March    66.90    March    52.10    March    55.30

April

   85.00    April    66.05    April    63.82    April    73.81    April    58.47    April    52.92

May

   84.70    May    64.70    May    59.77    May    73.67    May    58.30    May    51.64

June

   74.00    June    56.40    June    68.97    June    69.91    June    55.71    June    55.27

July

   79.28    July    58.42    July    65.84    July    63.72    July    56.32    July    56.77

August

   77.63    August    58.05    August    66.53    August    63.45    August    55.02      

September

   80.70    September    55.34    September    59.40    September    60.05    September    53.52      

October

   76.50    October    55.50    October    66.62    October    54.91    October    49.79      

November

   82.67    November    68.30    November    68.80    November    53.33    November    50.50      

December

   78.54    December    63.50    December    70.33    December    56.75    December    56.59      

 

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THE ESTEE LAUDER COMPANIES INC.

The Estée Lauder Companies Inc., is one of the world’s leading manufacturers and marketers of quality skin care, makeup, fragrance and hair care products. Its products are sold in over 130 countries and territories under the following well-recognized brand names: Estée Lauder, Clinique, Aramis, Prescriptives, Origins, MzAzC, Bobbi Brown, La Mer, Aveda, Stila, Jo Malone, Bumble and bumble, Darphin, Rodan + Fields, American Beauty, Flirt!, Good Skin, Donald Trump The Fragrance and Grassroots.

 

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January

   38.10    January    32.30    January    30.17    January    40.97    January    45.14    January    36.47

February

   38.64    February    31.20    February    28.05    February    42.60    February    43.98    February    37.42

March

   36.42    March    34.16    March    30.36    March    44.34    March    44.98    March    37.19

April

   39.75    April    36.15    April    32.50    April    45.71    April    38.41    April    37.12

May

   40.60    May    36.75    May    33.32    May    45.79    May    39.09    May    40.94

June

   43.10    June    35.20    June    33.53    June    48.78    June    39.13    June    38.67

July

   39.55    July    30.32    July    37.33    July    43.90    July    39.14    July    37.32

August

   38.85    August    29.95    August    34.49    August    43.95    August    40.39      

September

   33.15    September    28.74    September    34.10    September    41.80    September    34.83      

October

   32.25    October    29.12    October    37.39    October    42.95    October    33.17      

November

   33.37    November    27.28    November    38.00    November    43.64    November    33.01      

December

   32.06    December    26.40    December    39.26    December    45.77    December    33.48      

EXPRESS SCRIPTS, INC.

Express Scripts is a pharmacy benefit management company and provides a full range of pharmacy benefit management services, including retail drug card programs, home delivery pharmacy services, specialty services, drug formulary management programs and other clinical management programs for client groups that include HMOs, health insurers, third-party administrators, employers, union-sponsored benefit plans and government health programs.

 

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January

   23.20    January    22.90    January    27.78    January    34.59    January    37.10    January    91.29

February

   22.42    February    25.89    February    25.86    February    36.50    February    37.65    February    87.27

March

   21.67    March    28.80    March    27.85    March    37.28    March    43.60    March    87.90

April

   21.23    April    31.61    April    29.47    April    38.67    April    44.82    April    78.07

May

   24.14    May    26.43    May    32.75    May    39.17    May    46.20    May    73.28

June

   27.52    June    25.06    June    34.10    June    39.62    June    49.98    June    71.74

July

   29.18    July    26.00    July    33.00    July    32.80    July    52.30    July    77.03

August

   26.76    August    24.00    August    32.41    August    31.60    August    57.86      

September

   27.66    September    27.26    September    30.56    September    32.67    September    62.20      

October

   20.47    October    27.18    October    27.46    October    32.00    October    75.41      

November

   20.55    November    25.31    November    32.35    November    35.98    November    84.46      

December

   23.38    December    24.02    December    33.22    December    38.22    December    83.80      

 

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HEALTH CARE PROPERTY INVESTORS, INC.

Health Care Property Investors, Inc., together with its consolidated subsidiaries and joint ventures, invests primarily in real estate serving the healthcare industry in the United States. The company’s portfolio includes interests in 527 properties in 42 states. It acquires healthcare facilities and leases them to healthcare providers and provides mortgage financing secured by healthcare facilities. The company’s portfolio includes: (i) senior housing, including independent living facilities, assisted living facilities, and continuing care retirement communities; (ii) medical office buildings; (iii) hospitals; (iv) skilled nursing facilities; and (v) other healthcare facilities, including laboratory and office buildings.

 

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January

   15.87    January    18.99    January    18.42    January    28.12    January    25.96    January    27.75

February

   15.66    February    18.90    February    17.68    February    27.84    February    25.20    February    27.47

March

   16.96    March    20.28    March    16.68    March    28.30    March    23.47    March    28.40

April

   18.05    April    20.42    April    18.61    April    23.90    April    25.64    April    27.42

May

   17.06    May    20.89    May    19.61    May    24.03    May    27.19    May    26.15

June

   17.20    June    21.45    June    21.18    June    24.04    June    27.04    June    26.74

July

   17.84    July    21.91    July    21.92    July    24.96    July    27.86    July    27.42

August

   17.73    August    21.50    August    21.03    August    25.35    August    27.17      

September

   19.23    September    21.30    September    23.35    September    26.00    September    26.99      

October

   18.61    October    21.60    October    23.32    October    27.83    October    25.45      

November

   18.57    November    21.80    November    23.42    November    26.83    November    26.27      

December

   18.11    December    19.15    December    25.40    December    27.69    December    25.56      

LABORATORY CORPORATION OF AMERICAN HOLDINGS

Laboratory Corporation of America Holdings and its subsidiaries is an independent clinical laboratory company operating 36 primary laboratories and over 1,300 service sites, consisting of branches, patient service centers and STAT laboratories (which are laboratories that have the ability to perform certain routine tests quickly and report the results to the physician immediately).

 

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January

   34.06    January    40.70    January    26.75    January    42.70    January    47.85    January    58.65

February

   40.13    February    40.74    February    27.77    February    39.19    February    47.89    February    58.11

March

   30.06    March    47.93    March    29.65    March    39.25    March    48.20    March    58.48

April

   35.25    April    49.60    April    29.46    April    39.74    April    49.50    April    57.10

May

   35.07    May    49.05    May    32.15    May    41.36    May    48.45    May    59.36

June

   38.45    June    45.65    June    30.15    June    39.70    June    49.90    June    62.23

July

   44.98    July    34.30    July    31.77    July    39.16    July    50.67    July    64.42

August

   38.95    August    31.45    August    30.25    August    41.59    August    49.32      

September

   40.43    September    33.78    September    28.70    September    43.72    September    48.71      

October

   43.10    October    24.10    October    35.45    October    45.80    October    48.25      

November

   38.45    November    24.00    November    36.12    November    47.95    November    51.89      

December

   40.43    December    23.24    December    36.95    December    49.82    December    53.85      

 

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MEDCO HEALTH SOLUTIONS INC.

Medco Health Solutions Inc. is a pharmacy benefit manager, and provides traditional and specialty pharmacy benefit programs and services for its clients in each of the major industry categories, including Blue Cross/Blue Shield plans; managed care organizations; insurance carriers; third-party benefit plan administrators; employers; federal, state and local government agencies; and union-sponsored benefit plans. The company was spun off by Merck & Co., Inc. on August 19, 2003.

 

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January

      January       January       January    36.85    January    42.57    January    54.10

February

      February       February       February    32.66    February    44.42    February    55.72

March

      March       March       March    34.00    March    49.57    March    57.22

April

      April       April       April    35.40    April    50.97    April    53.23

May

      May       May       May    35.03    May    50.00    May    53.90

June

      June       June       June    37.50    June    53.36    June    57.28

July

      July       July       July    30.30    July    48.44    July    59.33

August

      August       August    26.70    August    31.23    August    49.27      

September

      September       September    25.93    September    30.90    September    54.83      

October

      October       October    33.20    October    33.91    October    56.50      

November

      November       November    36.43    November    37.72    November    53.65      

December

      December       December    33.99    December    41.60    December    55.80      

MEDTRONIC, INC.

Medtronic, Inc. currently functions in seven operating segments that manufacture and sell device-based medical therapies. Its operating segments are cardiac rhythm disease management, spinal and navigation, neurological, vascular, diabetes, cardiac surgery and ear, nose and throat.

 

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January

   54    January    49.27    January    44.92    January    49.22    January    52.49    January    56.47

February

   51.18    February    44.54    February    44.7    February    46.9    February    52.12    February    53.95

March

   45.74    March    45.21    March    45.12    March    47.75    March    50.95    March    50.75

April

   44.6    April    44.69    April    47.74    April    50.46    April    52.7    April    50.12

May

   42.98    May    46.15    May    48.73    May    47.9    May    53.75    May    50.49

June

   46.01    June    42.85    June    47.97    June    48.72    June    51.79    June    46.92

July

   48.03    July    40.4    July    51.5    July    49.67    July    53.94    July    50.52

August

   45.54    August    41.18    August    49.58    August    49.75    August    57      

September

   43.5    September    42.12    September    46.92    September    51.9    September    53.62      

October

   40.3    October    44.8    October    45.57    October    51.11    October    56.66      

November

   47.28    November    46.75    November    45.2    November    48.05    November    55.57      

December

   51.21    December    45.6    December    48.61    December    49.67    December    57.57      

 

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MERCK & CO., INC.

Merck & Co., Inc. is a global research-driven pharmaceutical company that discovers, develops, manufactures and markets a broad range of products to improve human and animal health, directly and through its joint ventures. The company sells its products primarily to drug wholesalers and retailers, hospitals, clinics, government agencies and managed health care providers such as health maintenance organizations and other institutions.

 

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January

   77.7799    January    56.0113    January    52.4243    January    47.6    January    28.05    January    34.5

February

   75.9059    February    58.0462    February    49.9256    February    48.08    February    31.7    February    34.86

March

   71.8361    March    54.497    March    51.8469    March    44.19    March    32.37    March    35.23

April

   71.9024    April    51.4305    April    55.0649    April    47    April    33.9    April    34.42

May

   69.0819    May    54.0427    May    52.6041    May    47.3    May    32.44    May    33.29

June

   60.4881    June    47.9286    June    57.308    June    47.5    June    30.8    June    36.43

July

   64.3402    July    46.9443    July    52.3202    July    45.35    July    31.06    July    40.27

August

   61.6144    August    47.815    August    50.32    August    44.97    August    28.23      

September

   63.0341    September    43.2626    September    50.62    September    33    September    27.21      

October

   60.3934    October    51.3358    October    44.25    October    31.31    October    28.22      

November

   64.1225    November    56.229    November    40.6    November    28.02    November    29.4      

December

   55.6517    December    53.579    December    46.2    December    32.14    December    31.81      

PFIZER INC.

Pfizer Inc. is a research-based, global pharmaceutical company. The company discovers, develops, manufactures and markets prescription medicines for humans and animals as well as many consumer healthcare products.

 

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January

   45.15    January    41.67    January    30.36    January    36.63    January    24.16    January    25.68

February

   45    February    40.96    February    29.82    February    36.65    February    26.29    February    26.19

March

   40.95    March    39.74    March    31.16    March    35.05    March    26.27    March    24.92

April

   43.3    April    36.35    April    30.75    April    35.76    April    27.17    April    25.33

May

   42.89    May    34.6    May    31.02    May    35.34    May    27.9    May    23.66

June

   40.05    June    35    June    34.15    June    34.28    June    27.58    June    23.47

July

   41.22    July    32.35    July    33.36    July    31.96    July    26.5    July    25.99

August

   38.31    August    33.08    August    29.92    August    32.67    August    25.48      

September

   40.1    September    29.02    September    30.38    September    30.6    September    24.97      

October

   41.9    October    31.77    October    31.6    October    28.95    October    21.74      

November

   43.31    November    31.53    November    33.57    November    27.77    November    21.2      

December

   39.85    December    30.57    December    35.33    December    26.89    December    23.32      

 

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QUEST DIAGNOSTICS INCORPORATED

Quest Diagnostics Incorporated is a provider of diagnostic testing, information and services. the company offers diagnostic laboratory services through its network of laboratories and patient service centers.

 

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January

   25.875    January    34.645    January    26.89    January    42.5    January    47.65    January    49.43

February

   26.35    February    35.455    February    26.38    February    41.435    February    49.7    February    52.87

March

   22.2175    March    41.425    March    29.845    March    41.415    March    52.565    March    51.3

April

   30.8    April    45.945    April    29.875    April    42.175    April    52.9    April    55.73

May

   30.9025    May    43.71    May    31.68    May    43.075    May    52.5    May    55.74

June

   37.425    June    43.025    June    31.9    June    42.475    June    53.27    June    59.92

July

   34.55    July    30.195    July    29.88    July    41.04    July    51.34    July    60.12

August

   31.325    August    28.025    August    30    August    42.8    August    49.98      

September

   30.85    September    30.765    September    30.32    September    44.11    September    50.54      

October

   32.69    October    31.915    October    33.825    October    43.77    October    46.71      

November

   30.88    November    27.895    November    36.485    November    46.875    November    50.09      

December

   35.855    December    28.45    December    36.555    December    47.775    December    51.48      

STERICYCLE, INC.

Stericycle, Inc.’s business is the management of medical waste, infection control and pharmaceutical returns and the provision of related compliance services.

 

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January

   16.2188    January    28.5    January    33.89    January    44.2    January    51.43    January    59.77

February

   19.625    February    32.255    February    35.43    February    46.24    February    45.98    February    60.45

March

   22.3125    March    31.2805    March    37.59    March    47.96    March    44.2    March    67.62

April

   20.95    April    33.765    April    39.25    April    47.76    April    48.67    April    65.84

May

   21.415    May    34.38    May    39.56    May    46.03    May    49.65    May    66.67

June

   23.475    June    35.41    June    38.36    June    51.74    June    50.32    June    65.10

July

   24.62    July    33.01    July    45.17    July    49    July    58.12    July    67.18

August

   24.085    August    31.04    August    47.91    August    47.18    August    58.13      

September

   20.84    September    33.92    September    47.25    September    45.9    September    57.15      

October

   24    October    33.3    October    46.24    October    45.33    October    57.56      

November

   27.69    November    33.319    November    49.32    November    41.79    November    61.32      

December

   30.44    December    32.379    December    46.7    December    45.95    December    58.88      

 

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STRYKER CORPORATION

Stryker Corporation is a medical technology company with a range of products in orthopedics and a significant presence in other medical specialties. The company’s products include implants used in joint replacement, trauma, craniomaxillofacial and spinal surgeries; biologics; surgical, neurologic, ear, nose & throat and interventional pain equipment; endoscopic, surgical navigation, communications and digital imaging systems; as well as patient handling and emergency medical equipment. Stryker also provides outpatient physical therapy services in the United States.

 

2001

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2002

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2003

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2004

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2005

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2006

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January

   22.6    January    29.37    January    30.12    January    44.37    January    49.14    January    49.9

February

   28.075    February    30.75    February    32.6    February    44.365    February    49.66    February    46.22

March

   26.125    March    30.165    March    34.325    March    44.265    March    44.61    March    44.34

April

   29.645    April    26.755    April    33.505    April    49.465    April    48.55    April    43.75

May

   28.725    May    27.28    May    33.67    May    50.85    May    48.65    May    43.9

June

   27.425    June    26.755    June    34.685    June    55    June    47.56    June    42.11

July

   29.99    July    25.31    July    38.26    July    47.68    July    54.09    July    45.51

August

   27.415    August    28.185    August    37.9    August    45.3    August    54.55      

September

   26.45    September    28.8    September    37.655    September    48.08    September    49.43      

October

   28.12    October    31.55    October    40.555    October    43.09    October    41.07      

November

   27.455    November    30.925    November    40.5    November    43.99    November    43.3      

December

   29.185    December    33.56    December    42.505    December    48.25    December    44.43      

VENTAS, INC.

Ventas, Inc. owns a portfolio of healthcare-related and seniors housing facilities in the United States. As of December 31, 2005, this portfolio consisted of 200 skilled nursing facilities, 41 hospitals and 139 seniors housing and other facilities in 42 states. The company also had real estate loan investments relating to 30 healthcare-related and seniors housing facilities as of December 31, 2005.

 

2001

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2002

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2003

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2004

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2005

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2006

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January

   7.1    January    12.13    January    11.35    January    25    January    25.6    January    30.6

February

   8.43    February    12.69    February    12    February    26.45    February    25.82    February    31

March

   8.5    March    12.65    March    11.6    March    27.48    March    24.96    March    33.18

April

   8.83    April    13.5    April    13    April    22.09    April    26.98    April    32.67

May

   9.25    May    13.15    May    14.15    May    23.32    May    28.54    May    32.44

June

   10.95    June    12.75    June    15.15    June    23.35    June    30.2    June    33.88

July

   10.97    July    13    July    16.55    July    25.52    July    32.29    July    35.73

August

   11.73    August    13    August    16.91    August    27.35    August    31.15      

September

   10.85    September    13.41    September    17.12    September    25.92    September    32.2      

October

   12.45    October    11.4    October    18.7    October    26.9    October    30.63      

November

   12.2    November    12.5    November    20.02    November    27.1    November    31.53      

December

   11.5    December    11.45    December    22    December    27.41    December    32.02      

 

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WALGREEN CO.

Walgreen Co. is a nationwide drugstore chain operating a total number of stores at August 31, 2005 of 4,950 located in 45 states and Puerto Rico. In addition, the company operates 3 mail service facilities.

 

2001

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2002

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2003

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2004

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2005

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2006

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January

   40.94    January    36.28    January    29    January    34.55    January    42.61    January    43.28

February

   44.32    February    40.24    February    28.14    February    35.66    February    42.83    February    44.86

March

   40.8    March    39.19    March    29.48    March    32.95    March    44.42    March    43.13

April

   42.78    April    37.77    April    30.86    April    34.48    April    43.06    April    41.93

May

   40.19    May    38.26    May    30.79    May    35.01    May    45.34    May    40.6

June

   34.46    June    38.63    June    30.1    June    36.21    June    45.99    June    44.84

July

   33.7    July    35.33    July    29.92    July    36.4    July    47.86    July    46.78

August

   34.35    August    34.75    August    32.57    August    36.45    August    46.33      

September

   34.43    September    30.76    September    30.64    September    35.83    September    43.45      

October

   32.38    October    33.75    October    34.82    October    35.89    October    45.43      

November

   33    November    28.79    November    36.81    November    38.18    November    45.68      

December

   33.66    December    29.19    December    36.38    December    38.37    December    44.26      

ZIMMER HOLDINGS, INC.

Zimmer Holdings, Inc. designs, develops, manufactures and markets reconstructive orthopedic implants, including joint and dental, spinal implants, trauma products and related orthopedic surgical products.

 

2001

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2002

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2003

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2004

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2005

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2006

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January

      January    32.53    January    41    January    76.5    January    78.85    January    68.95

February

      February    35.76    February    44.39    February    75.64    February    85.9    February    69.18

March

      March    34.05    March    48.63    March    73.78    March    77.81    March    67.6

April

      April    34.71    April    46.9    April    79.85    April    81.42    April    62.9

May

      May    34.98    May    44.86    May    85.35    May    76.58    May    60.55

June

      June    35.66    June    45.05    June    88.2    June    76.17    June    56.72

July

   28.6    July    37.23    July    47.81    July    76.31    July    82.36    July    63.24

August

   27.2    August    36.9    August    51.74    August    71.3    August    82.17      

September

   27.75    September    38.34    September    55.1    September    79.04    September    68.89      

October

   30.91    October    41.22    October    63.81    October    77.59    October    63.77      

November

   32.26    November    37.64    November    65.92    November    81.6    November    62.67      

December

   30.54    December    41.52    December    70.4    December    80.12    December    67.44      

 

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LOGO

4,200,000 Units

Merrill Lynch & Co., Inc.

Medium-Term Notes, Series C

Strategic Return Notes®

Linked to the Baby Boomer Consumption Index

due September 6, 2011

(the “Notes”)

$10 original public offering price per unit

 


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August 30, 2006

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