Filed Pursuant to Rule 433

Registration No. 333-132911

Subject to Completion

Preliminary Term Sheet dated July 5, 2007

 

$                Accelerated Return Notes

   Expected Pricing Date*    August       , 2007

Linked to the PHLX Oil Service SectorSM Index Due

   Settlement Date*    August       , 2007

October             , 2008

   Maturity Date*    October       , 2008

Preliminary Term Sheet

   CUSIP No.   

 

 

 

Merrill Lynch & Co., Inc.

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•  3-to-1 upside exposure, subject to a cap of 22%–26%

 

•  A maturity of approximately 14 months

 

•  1-to-1 downside exposure, with no downside limit

 

•  Application made to list on AMEX under the symbol “PIP”

 

 

 

 

 

 

 

The Notes will have the terms specified in this preliminary term sheet as supplemented by the documents indicated herein under “Additional Note Terms” (together the “Note Prospectus”). Investing in the Notes involves a number of risks. See “ Risk Factors” beginning on page TS-5 of this term sheet and on page PS-4 of product supplement ARN-1.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this Note Prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

 

     Per Unit    Total

Public offering price

   $10.00        $

Underwriting discount

   $.20        $

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

   $9.80        $

*Depending on the date the Notes are priced for initial sale to the public (the “Pricing Date”), which may be in July or August, the settlement date may occur in July or August and the maturity date may occur in September or October. Any reference in this term sheet to the month in which the settlement date or maturity date will occur is subject to change as specified above.

“Accelerated Return NotesSM” is a service mark of Merrill Lynch & Co., Inc.

“PHLX Oil Service SectorSM” and “OSXSM” are service marks of the Philadelphia Stock Exchange, Inc. and have been licensed for use by Merrill Lynch, Pierce, Fenner & Smith Incorporated, and Merrill Lynch & Co., Inc. is an authorized sublicensee.

Merrill Lynch & Co.

August     , 2007


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Summary

The Accelerated Return NotesSM Linked to the PHLX Oil Service SectorSM Index (Bloomberg Symbol “OSX <Index>”) due October     , 2008 (the “Notes”) are senior, unsecured debt securities of Merrill Lynch & Co., Inc. that provide a leveraged return for investors, subject to a cap, if the level of the PHLX Oil Service Sector Index (the “Index”) increases moderately from the Starting Value of the Index on the Pricing Date to the Ending Value of the Index determined on valuation dates shortly prior to the maturity date of the Notes. Investors must be willing to forego interest payments on the Notes and willing to accept a repayment that is capped and that may be less, and potentially significantly less, than the original public offering price of the Notes.

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Accelerated Return Notes   TS-2


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Hypothetical Payout Profile

 

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This table reflects the hypothetical returns on the Notes, assuming a Capped Value of 24.0%, the midpoint of the range of 22.0% and 26.0%. The red line reflects the hypothetical returns on the Notes, while the blue line reflects the return of an investment in the Index.

 

This table has been prepared for purposes of illustration only. Your actual return will depend on the actual Ending Value, Capped Value and the term of your investment.

 

 

 

Hypothetical Payments at Maturity

Examples

Set forth below are three examples of payment at maturity calculations, assuming a hypothetical Starting Value of 260.58, the level of the Index on June 26, 2007, and a Capped Value of $12.40, the midpoint of the range of $12.20 and $12.60.

Example 1—The hypothetical Ending Value is 80% of the hypothetical Starting Value:

 

Hypothetical Starting Value: 260.58

Hypothetical Ending Value: 208.46

  

 

$10 ×

  (  

  208.48  

260.58

  )      = $8.00  

Payment at maturity (per unit) = $8.00

Example 2—The hypothetical Ending Value is 103% of the hypothetical Starting Value:

 

Hypothetical Starting Value: 260.58

Hypothetical Ending Value: 268.40

  

 

$10 +

  (  

$30 ×

  (  

  268.40 - 260.58  

260.58

  )   )      = $10.90  

Payment at maturity (per unit) = $10.90

Example 3—The hypothetical Ending Value is 140% of the hypothetical Starting Value:

 

Hypothetical Starting Value: 260.58

Hypothetical Ending Value: 364.81

  

 

$10 +

  (  

$30 ×

  (  

  364.81 - 260.58  

260.58

  )   )      = $22.00  

Payment at maturity (per unit) = $12.40 (Payment at maturity cannot be greater than the Capped Value)

 

Accelerated Return Notes   TS-3


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The following table illustrates, for a hypothetical Starting Value of 260.58 (the closing level of the Index as obtained from Bloomberg page OSX <Index> on June 26, 2007) and a range of hypothetical Ending Values of the Index:

 

  the percentage change from the hypothetical Starting Value to the hypothetical Ending Value;
  the total amount payable on the maturity date per unit;
  the total rate of return to holders of the Notes;
  the pretax annualized rate of return to holders of the Notes; and
  the pretax annualized rate of return of an investment in the stocks included in the Index, which includes an assumed aggregate dividend yield of 0.423% per annum, as more fully described below.

        The table below assumes a Capped Value of $12.40, the midpoint of the range of $12.20 and $12.60.

 

 

Hypothetical

    Ending Value    

 

Percentage change

    from the hypothetical    

Starting Value

to the hypothetical

Ending Value

 

Total amount

    payable on the    

maturity date

per unit

 

Total

rate of

return on

    the Notes    

 

Pretax

    annualized    

rate of

return on

the Notes (1)

 

Pretax

annualized rate

of return of the

stocks

included in the Index (1)(2)

130.29      

  -50.00%     5.00         -50.00%   -51.28%   -50.78%

156.35      

  -40.00%     6.00         -40.00%   -39.23%   -38.75%

182.41      

  -30.00%     7.00         -30.00%   -28.28%   -27.82%

208.46      

  -20.00%     8.00         -20.00%   -18.19%   -17.75%

234.52      

  -10.00%     9.00         -10.00%     -8.81%     -8.37%

239.73      

    -8.00%     9.20           -8.00%     -7.00%     -6.57%

244.95      

    -6.00%     9.40           -6.00%     -5.22%     -4.79%

250.16      

    -4.00%     9.60           -4.00%     -3.46%     -3.03%

255.37      

    -2.00%     9.80           -2.00%     -1.72%     -1.29%

260.58(3)  

      0.00%   10.00             0.00%       0.00%       0.42%

265.79      

      2.00%   10.60             6.00%       5.04%       2.12%

271.00      

      4.00%   11.20           12.00%       9.93%       3.80%

276.21      

      6.00%   11.80           18.00%     14.66%       5.46%

281.43      

      8.00%   12.40(4)       24.00%     19.26%       7.11%

286.64      

    10.00%   12.40           24.00%     19.26%       8.73%

312.70      

    20.00%   12.40           24.00%     19.26%     16.62%

338.75      

    30.00%   12.40           24.00%     19.26%     24.14%

 

(1) The annualized rates of return specified in this column are calculated on a semiannual bond equivalent basis and assume an investment term from June 27, 2007 to August 27, 2008, a term expected to be equal to that of the Notes.

 

(2) This rate of return assumes:

 

  (a) a percentage change in the aggregate price of the stocks included in the Index that equals the percentage change in the Index from the hypothetical Starting Value to the relevant hypothetical Ending Value;

 

  (b) a constant dividend yield of 0.423% per annum, paid quarterly from the date of initial delivery of the Notes, applied to the level of the Index at the end of each quarter assuming this value increases or decreases linearly from the hypothetical Starting Value to the applicable hypothetical Ending Value; and

 

  (c) no transaction fees or expenses.

 

(3) This is the hypothetical Starting Value, the closing level of the Index on June 26, 2007. The actual Starting Value will be determined on the Pricing Date and will be set forth in the final term sheet made available in connection with sales of the Notes.

 

(4) The total amount payable on the maturity date per unit of the Notes cannot exceed $12.40 (the midpoint of the range of $12.20 and $12.60).

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 Starting Value, Ending Value, Capped Value and term of your investment.

 

Accelerated Return Notes   TS-4


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Risk Factors

An investment in the Notes involves significant risks. The following is a list of certain of the risks involved in investing in the Notes. You should carefully review the more detailed explanation of risks relating to the Notes in the “Risk Factors” sections included in the product supplement and MTN prospectus supplement identified below under “Additional Note Terms”. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.

 

  Your investment may result in a loss.

 

  Your yield may be lower than the yield on other debt securities of comparable maturity.

 

  You must rely on your own evaluations regarding the merits of an investment linked to the Index.

 

  Your return will not reflect dividends on the stocks included in the Index.

 

  Your return is limited and may not reflect the return on a direct investment in the stocks included in the Index.

 

  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 publisher of the Index may adjust the Index in a way that affects its level, and such publisher has no obligation to consider your interests.

 

  Many factors affect the trading value of the Notes; these factors interrelate in complex ways and the effect of any one factor may offset or magnify the effect of another factor.

 

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

 

  Potential conflicts of interest could arise.

 

  Tax consequences are uncertain.

Additional Risk Factors

Investments related to the oil services industry may be highly volatile. Oil service company stock prices have been and will likely continue to be extremely volatile. Oil service companies stock prices could be subject to wide fluctuations in response to a variety of factors, including: the ability of the Organization of Petroleum Exporting Countries (“OPEC”) to set and maintain production levels and pricing, the level of production in non-OPEC countries, the demand for oil and gas, which is negatively impacted by economic downturns, the policies of various governments regarding exploration and development of oil and gas reserves, advances in exploration and development technology and the political environment of oil-producing regions. Price volatility of the stocks included in the Index (the “Underlying Stocks”) may adversely affect the level of the Index and consequently the trading value of your Notes.

The Index is not necessarily representative of the oil service industry. While the Underlying Stocks comprising the Index are common stocks of companies generally considered to be involved in various segments of the oil service industry, the Underlying Stocks and the Index may not necessarily follow the price movements of the entire oil service industry generally. If the Underlying Stocks decline in value, the Index will decline in value even if common stock prices in the oil service industry generally increase in value.

The level of the Index will be obtained from Bloomberg, and not from any other source. While the level of the Index may be obtained from several sources, the level of the Index relevant to the Starting Value, Ending Value and the calculation of the value of the Notes at any given point over the term of the Notes will be the level as reported by Bloomberg on page OSX <Index>.

Investor Considerations

 

You may wish to consider an investment in the Notes if:

   The Notes may not be appropriate investments for you if:

        You anticipate that the Index will appreciate moderately from the Starting Value to the Ending Value.

 

        You accept that your investment may result in a loss, which could be significant, if the level of the Index decreases from the Starting Value to the Ending Value.

 

        You accept that the return on the Notes will not exceed the Capped Value.

 

        You are willing to forego interest payments on the Notes, such as fixed or floating rate interest paid on traditional interest bearing debt securities.

 

        You want exposure to the Index with no expectation of dividends or other benefits of owning the underlying securities.

 

        You are willing to accept that there is no assurance that the Notes will be listed on AMEX and that any listing will not ensure that a trading market will develop for the Notes or that there will be liquidity in the trading market.

  

        You anticipate that the Index will depreciate from the Starting Value to the Ending Value or that the Index will not appreciate sufficiently over the term of the Notes to provide you with your desired return.

 

        You are seeking principal protection or preservation of capital.

 

        You seek a return on your investment that will not be capped at a percentage that will be between 22.0% and 26.0%.

 

        You seek interest payments or other current income on your investment.

 

        You want to receive dividends paid on the stocks included in the Index.

 

        You want assurances that there will be a liquid market if and when you want to sell the Notes prior to maturity.

 

Accelerated Return Notes   TS-5


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Other Provisions

We may deliver the Notes against payment therefor in New York, New York on a date that is greater than three business days following the Pricing Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, if the initial settlement on the Notes occurs more than three business days from the Pricing Date, purchasers who wish to trade Notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.

 

Accelerated Return Notes   TS-6


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The Index

PHLX Oil Services SectorSM Index

All disclosure contained in this pricing supplement regarding the Index, including, without limitation, its make-up, method of calculation and changes in its components has been derived from publicly available information prepared by PHLX. ML&Co. and MLPF&S have not independently verified the accuracy or completeness of that information.

The Index is designed to measure the performance of oil service companies whose primary lines of business are oil drilling and production services, oil field equipment, support services and geophysical/reservoir services (the “Underlying Stocks”). The Index (Bloomberg symbol “OSX <Index>”) is published by PHLX. The initial value of the Index was set at 75 on December 31, 1996. Options commenced trading on the Index on February 24, 2007. The following is a current list of companies included in the Index and their trading symbols: Baker Hughes Inc (BHI); BJ Services Co (BJS); Cameron International Corp (CAM); Global Industries Ltd (GLBL); Globalsantafe Corp (GSF); Halliburton Co (HAL); Nabors Industries Ltd (NBR); National Oilwell Varco Inc (NOV); Noble Corporation (NE); Rowan Companies, Inc (RDC); Schlumberger Limited (SLB); Smith International Inc (SII); Tidewater Inc (TDW); Transocean Inc (RIG); and Weatherford International Inc. Ltd (WFT). We have provided a brief description of each of the companies included in the Index and their corresponding historical price information in Annex A of this pricing supplement.

As a price-weighted index, the Index is calculated by adding the prices of the Underlying Stocks and dividing by a base market divisor (the “Base Market Divisor”), without taking into account market capitalization. The Index is not adjusted to take account of changes in the weightings of Underlying Stocks. Therefore, movements in Underlying Stocks with higher prices relative to other Underlying Stocks will exert a greater influence on the level of the Index.

Although the Index is not adjusted to account for movements in the Underlying Stocks, the Base Market Divisor may be adjusted from time to time as the companies comprising the Index issue additional stock or merge. In addition, the Base Market Divisor may be adjusted to account for companies that are removed from the Index because they are no longer involved in the oil service industry.

The PHLX is under no obligation to continue the calculation and dissemination of the Index. The Notes are not sponsored, endorsed, sold or promoted by the PHLX. No inference should be drawn from the information contained in this pricing supplement that the PHLX makes any representation or warranty, implied or express, to ML&Co., the holder of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes in particular or the ability of the Notes to track general stock market performance. The PHLX has no obligation to take the needs of ML&Co. or the holder of the Notes into consideration in determining, composing or calculating the Index. The PHLX is not responsible for, and has not participated in the determination of the timing of, prices for, or quantities of, the Notes to be issued or in the determination or calculation of the equation by which the Notes are to be settled in cash. The PHLX has no obligation or liability in connection with the administration or marketing of the Notes.

None of ML&Co., the Calculation Agent and MLPF&S accepts any responsibility for the calculation, maintenance or publication of the Index or any successor index.

 

Accelerated Return Notes   TS-7


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Historical data on the Index

The following graph sets forth the historical performance of the Index (as obtained from Bloomberg) in the period from January 2002 through May 2007. This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the Notes may be. Any historical upward or downward trend in the value of the Index during any period set forth below is not an indication that the Index is more or less likely to increase or decrease at any time over the term of the Notes. On June 26, 2007, the closing level of the Index was 260.58.

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Accelerated Return Notes   TS-8


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License Agreement

The PHLX and MLPF&S have entered into a non-exclusive license agreement providing for the license to MLPF&S, in exchange for a fee, of the right to use the PHLX Oil Service SectorSM Index, which is owned and published by the PHLX, in connection with certain securities, including the Notes. ML&Co. is an authorized sublicensee of MLPF&S.

The license agreement between PHLX and MLPF&S provides that the following language must be stated in this pricing supplement:

“PHLX Oil Service SectorSM Index (OSXSM) (“Index”) is not sponsored, endorsed, sold or promoted by Philadelphia Stock Exchange, Inc. (“PHLX”). PHLX makes no representation or warranty, express or implied, to the owners of the Index or any member of the public regarding the advisability of investing in the Notes generally or in the Index particularly or the ability of the Index to track market performance. PHLX’s only relationship to ML&Co. is the licensing of certain names and marks and of the Index, which is determined, composed and calculated without regard to ML&Co. PHLX has no obligation to take the needs of the ML&Co. or the owners of the Index into consideration in determining, composing or calculating the Index. PHLX is not responsible for and has not participated in any determination or calculation made with respect to the issuance or redemption of the Index. PHLX has no obligation or liability in connection with the administration, purchase, sale, marketing, promotion or trading of the Index.

PHLX DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE PHLX OIL SERVICE SECTORSM INDEX (OSXSM) (“INDEX”) OR ANY DATA INCLUDED THEREIN. PHLX MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY ML&CO., OWNERS OF THE INDEX, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. PHLX MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL PHLX HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.”

 

Accelerated Return Notes   TS-9


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Certain U.S. Federal Income Taxation Considerations

Set forth below is a summary of certain U.S. federal income tax considerations relating to an investment in the Notes. The following summary is not complete and is qualified in its entirety to the discussion under the section entitled “United States Federal Income Taxation” in the accompanying product supplement ARN-1 and MTN prospectus supplement, which you should carefully review prior to investing in the Notes.

General. There are no statutory provisions, regulations, published rulings or judicial decisions addressing or involving the characterization and treatment, for United States federal income tax purposes, of the Notes or securities with terms substantially the same as the Notes. Accordingly, the proper United States 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 a Note for all tax purposes as a pre-paid cash-settled forward contract linked to the level of the Index. Due to the absence of authorities that directly address instruments that are similar to the Notes, significant aspects of the United States federal income tax consequences of an investment in the Notes are not certain, and no assurance can be given that the Internal Revenue Service (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 United States 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.

Payment on the Maturity Date. Assuming that the Notes are properly characterized and treated as pre-paid cash-settled forward contracts linked to the level of the Index, upon the receipt of cash on the maturity date of the Notes, a U.S. Holder (as defined in the accompanying product supplement ARN-1) will recognize gain or loss. The amount of such 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. A U.S. Holder’s tax basis in a Note generally will equal the amount paid by the U.S. Holder to purchase 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 such gain or loss as capital gain or loss. If such gain or loss is treated as capital gain or loss, then any such gain or loss will 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.

Sale or Exchange of the Notes. Assuming that the Notes are properly characterized and treated as pre-paid cash-settled forward contracts linked to the level of the Index, 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 such sale or exchange and such U.S. Holder’s tax basis in the Note so sold or exchanged. Any such capital gain or loss will be long-term capital gain or loss if the U.S. Holder has held the Note for more than one year as of the date of such sale or exchange.

Circular 230 Legend. The foregoing discussion of United States federal income tax matters contained in this term sheet (a) was not intended or written to be legal or tax advice to any person and was not intended or written to be used, and it cannot be used, by any person for the purpose of avoiding any tax-related penalties that may be imposed on such person, and (b) was written to support the promotion or marketing of the Notes by Merrill Lynch. Each person considering an investment in the Notes should seek advice based on its particular circumstances from an independent tax advisor.

Notwithstanding anything to the contrary contained herein, each prospective investor (and each employee, representative, or other agent of each prospective investor) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of the Notes and all materials of any kind that are provided to the prospective investor relating to such tax treatment and tax structure (as such terms are defined in Treasury Regulation Section 1.6011-4). This authorization of tax disclosure is retroactively effective to the commencement of discussions between Merrill Lynch or its representatives and each prospective investor regarding an investment in the Notes.

Prospective purchasers of the Notes should consult their own tax advisors concerning the tax consequences, in light of their particular circumstances, under the laws of the United States and any other taxing jurisdiction, of the purchase, ownership and disposition of the 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 term sheet by reference from Merrill Lynch & Co., Inc.’s Annual Report on Form 10-K for the year ended December 29, 2006 have been audited by Deloitte & Touche LLP, an independent registered public accounting firm, as stated in their reports, which are incorporated herein by reference (which reports (1) expressed an unqualified opinion on the consolidated financial statements and financial statement schedule and include an explanatory paragraph regarding the change in accounting method in 2006 for share-based payments to conform to Statement of Financial Accounting Standard No. 123 (revised 2004), Share-Based Payment, (2) expressed an unqualified opinion on management’s assessment regarding the effectiveness of internal control over financial reporting, and (3) expressed an unqualified opinion on the effectiveness of internal control over financial reporting) 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 condensed consolidated interim financial information for the three-month periods ended March 30, 2007 and March 31, 2006 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 report included in the Company’s Quarterly Reports on Form 10-Q for the quarter ended March 30, 2007 (which report included an explanatory paragraph regarding the adoption of Statement of Financial Accounting Standards No. 157, “Fair Value Measurement”, Statement of Financial Accounting Standards No. 159, “The Fair Value Option for Financial Assets and Financial Liabilities—Including an amendment of FASB Statement No. 115,” and FASB Interpretation No. 48, “Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109.) and incorporated by reference herein, they did not audit and they do not express an opinion on that interim 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 condensed consolidated interim 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.

 

Accelerated Return Notes   TS-10


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Additional Note Terms

You should read this preliminary term sheet, together with the documents listed below (collectively, the “Note Prospectus”), which together contain the terms of the Notes and supersede all prior or contemporaneous oral statements as well as any other written materials. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the sections indicated on the cover of this term sheet. The Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.

You may access the following documents on the SEC Website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC Website):

 

   

Product supplement ARN-1 dated June 6, 2007:

http://www.sec.gov/Archives/edgar/data/65100/000119312507130792/d424b2.htm

 

   

MTN prospectus supplement, dated March 31, 2006:

http://www.sec.gov/Archives/edgar/data/65100/000119312506070946/d424b5.htm

 

   

General prospectus supplement dated March 31, 2006:

http://www.sec.gov/Archives/edgar/data/65100/000119312506070973/d424b5.htm

 

   

Prospectus dated March 31, 2006:

http://www.sec.gov/Archives/edgar/data/65100/000119312506070817/ds3asr.htm

Our Central Index Key, or CIK, on the SEC Website is 65100. References in this term sheet 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.

ML&Co. has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the “SEC”) for the offering to which this term preliminary sheet relates. Before you invest, you should read the prospectus in that registration statement, and the other documents relating to this offering that ML&Co. has filed with the SEC for more complete information about ML&Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, ML&Co., any agent or any dealer participating in this offering, will arrange to send you the Note Prospectus if you so request by calling toll-free 1-866-500-5408.

 

Accelerated Return Notes   TS-11


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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 for each Underlying Stock in each month from January 2002 through May 2007 (or from the first month-end for which that data is available). The historical prices of the Underlying Stocks are not indicative of the future performance of the Underlying Stocks or the Index. 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. We make no representation or warranty as to the accuracy or completeness of the following information. 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 and 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 website at http://www.sec.gov.

BAKER HUGHES INC

Baker Hughes Incorporated is a Delaware corporation engaged in the oilfield services industry. Baker Hughes is a supplier of products and technology services and systems to the worldwide oil and natural gas industry, including products and services for drilling, formation evaluation, completion and production of oil and natural gas wells. Baker Hughes may conduct its operations through subsidiaries, affiliates, ventures and alliances.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   35.20    January    30.26    January    35.08    January    43.30    January    77.44    January    69.03

February

   35.31    February    31.02    February    37.62    February    47.28    February    67.97    February    65.11

March

   38.25    March    29.93    March    36.48    March    44.49    March    68.40    March    66.13

April

   37.68    April    28.00    April    36.68    April    44.12    April    80.83    April    80.39

May

   36.65    May    33.05    May    34.03    May    46.19    May    86.30    May    82.48

June

   33.29    June    33.57    June    37.65    June    51.16    June    81.85      

July

   26.80    July    31.41    July    40.30    July    56.54    July    79.95      

August

   27.50    August    33.46    August    39.33    August    58.75    August    71.18      

September

   29.03    September    29.59    September    43.72    September    59.68    September    68.20      

October

   29.05    October    28.26    October    42.83    October    54.96    October    69.05      

November

   32.74    November    28.86    November    44.33    November    57.35    November    73.43      

December

   32.19    December    32.16    December    42.67    December    60.78    December    74.66      

BJ SERVICES CO

BJ Services Company is a provider of pressure pumping and oilfield services for the petroleum industry. Pressure pumping services consist of cementing and stimulation services used in the completion of new oil and natural gas wells and in remedial work on existing wells, both onshore and offshore. Oilfield services include completion tools, completion fluids, casing and tubular services, production chemical services, and precommissioning, maintenance and turnaround services in the pipeline and process business, including pipeline inspection.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   15.50    January    15.29    January    19.57    January    24.03    January    40.49    January    27.66

February

   16.58    February    17.19    February    21.65    February    24.98    February    31.31    February    26.79

March

   17.24    March    17.20    March    21.64    March    25.94    March    34.60    March    27.90

April

   18.37    April    18.26    April    22.25    April    24.38    April    38.05    April    28.66

May

   18.76    May    20.36    May    20.95    May    25.18    May    36.65    May    29.33

June

   16.94    June    18.68    June    22.92    June    26.24    June    37.26      

July

   15.95    July    17.13    July    24.83    July    30.50    July    36.27      

August

   15.25    August    18.69    August    24.03    August    31.54    August    34.31      

September

   13.00    September    17.09    September    26.21    September    35.99    September    30.13      

October

   15.17    October    16.41    October    25.50    October    34.75    October    30.16      

November

   16.73    November    15.95    November    25.34    November    36.65    November    33.77      

December

   16.16    December    17.95    December    23.27    December    36.67    December    29.32      

 

Accelerated Return Notes   TS-12


LOGO

CAMERON INTERNATIONAL CORP

Cameron is an international manufacturer of oil and gas pressure control and separation equipment, including valves, wellheads, controls, chokes, blowout preventers and assembled systems for oil and gas drilling, production and transmission used in onshore, offshore and subsea applications and provides oil and gas separation, metering and flow measurement equipment.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   21.27    January    24.24    January    20.85    January    28.21    January    48.39    January    52.50

February

   22.45    February    26.00    February    22.11    February    28.85    February    40.50    February    56.69

March

   25.56    March    24.76    March    22.03    March    28.61    March    44.08    March    62.79

April

   27.42    April    23.93    April    24.18    April    27.47    April    50.24    April    64.57

May

   28.14    May    27.30    May    23.19    May    29.56    May    46.90    May    70.90

June

   24.21    June    25.19    June    24.35    June    31.03    June    47.77      

July

   21.50    July    23.91    July    25.55    July    35.49    July    50.41      

August

   22.42    August    24.28    August    25.47    August    36.08    August    47.91      

September

   20.88    September    23.11    September    27.42    September    36.97    September    48.31      

October

   23.31    October    21.41    October    24.18    October    36.87    October    50.10      

November

   25.63    November    21.71    November    26.10    November    39.82    November    54.32      

December

   24.91    December    23.30    December    26.91    December    41.40    December    53.05      

GLOBAL INDUSTRIES LTD

Global Industries Ltd provides construction services including pipeline construction, platform installation and removal, diving services, and construction support to the offshore oil and gas industry in the United States Gulf of Mexico and in selected international areas.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

     8.42    January      3.70    January      5.02    January    8.07    January    14.00    January    13.47

February

   8.90    February    4.30    February    5.06    February    9.82    February    12.71    February    14.76

March

   9.33    March    4.66    March    5.90    March    9.40    March    14.49    March    18.29

April

   9.64    April    4.48    April    6.00    April    9.61    April    15.87    April    20.76

May

   7.46    May    5.53    May    5.46    May    8.54    May    19.41    May    23.71

June

   6.99    June    4.82    June    5.72    June    8.50    June    16.70      

July

   4.81    July    4.60    July    5.05    July    9.81    July    16.68      

August

   4.88    August    4.86    August    5.35    August    13.77    August    17.92      

September

   4.13    September    4.56    September    6.18    September    14.74    September    15.56      

October

   4.00    October    4.62    October    6.71    October    12.71    October    16.60      

November

   4.41    November    4.21    November    8.58    November    11.85    November    14.28      

December

   4.17    December    5.13    December    8.29    December    11.35    December    13.04      

 

Accelerated Return Notes   TS-13


LOGO

GLOBALSANTAFE CORP

GlobalSantaFe Corporation is an offshore oil and gas drilling contractor, owning or operating a fleet of 59 marine drilling rigs. As of December 31, 2006, its fleet included 43 cantilevered jackup rigs, 11 semisubmersible rigs, three drillships, and two additional semisubmersible rigs we operate for third parties under a joint venture agreement

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   28.37    January    21.73    January    27.30    January    35.36    January    61.05    January    58.01

February

   27.65    February    22.25    February    29.50    February    37.50    February    55.34    February    57.63

March

   32.70    March    20.65    March    27.77    March    37.04    March    60.75    March    61.68

April

   35.09    April    21.16    April    26.37    April    33.60    April    61.21    April    63.93

May

   33.75    May    24.88    May    25.13    May    36.64    May    60.13    May    68.30

June

   27.35    June    23.34    June    26.50    June    40.80    June    57.75      

July

   22.54    July    22.25    July    27.40    July    44.99    July    54.93      

August

   22.00    August    24.80    August    27.88    August    46.88    August    49.22      

September

   22.35    September    23.95    September    30.65    September    45.62    September    49.99      

October

   23.90    October    22.51    October    29.50    October    44.55    October    51.9      

November

   25.62    November    21.50    November    31.40    November    45.36    November    60.00      

December

   24.32    December    24.83    December    33.11    December    48.15    December    58.78      

HALLIBURTON CO

Halliburton Company provides a variety of services, products, maintenance, engineering, and construction to energy, industrial, and governmental customers. Halliburton’s six business segments are: Production Optimization, Fluid Systems, Drilling and Formation Evaluation, Digital and Consulting Solutions, Energy and Chemicals, and Government and Infrastructure.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   6.88    January    9.38    January    15.08    January    20.57    January    39.78    January    29.54

February

   8.23    February    10.13    February    15.98    February    21.99    February    34.00    February    30.88

March

   8.54    March    10.37    March    15.20    March    21.63    March    36.51    March    31.74

April

   8.50    April    10.71    April    14.90    April    20.80    April    39.08    April    31.77

May

   9.28    May    11.94    May    14.52    May    21.37    May    37.30    May    35.95

June

   7.97    June    11.50    June    15.13    June    23.91    June    37.11      

July

   6.60    July    11.09    July    15.88    July    28.03    July    33.36      

August

   7.60    August    12.09    August    14.59    August    30.99    August    32.62      

September

   6.46    September    12.13    September    16.85    September    34.26    September    28.45      

October

   8.09    October    11.94    October    18.52    October    29.55    October    32.35      

November

   10.50    November    11.68    November    20.68    November    31.83    November    33.74      

December

   9.36    December    13.00    December    19.62    December    30.98    December    31.05      

 

Accelerated Return Notes   TS-14


LOGO

NABORS INDUSTRIES LTD

Nabors is a land drilling contractor in the world with approximately 615 land drilling rigs. Nabors conduct oil, gas and geothermal land drilling operations in the U.S. Lower 48 states, Alaska, Canada, South and Central America, the Middle East, the Far East and Africa. It also operates as a land well-servicing and workover contractor in the United States and Canada.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   15.66    January    18.43    January    22.00    January    25.20    January    37.88    January    30.28

February

   17.74    February    19.83    February    23.68    February    28.70    February    40.63    February    29.96

March

   21.13    March    19.94    March    22.88    March    29.57    March    32.98    March    29.67

April

   22.78    April    19.60    April    22.18    April    26.94    April    35.79    April    32.12

May

   21.95    May    22.54    May    20.70    May    27.56    May    37.33    May    34.94

June

   17.65    June    19.77    June    22.61    June    30.31    June    35.91      

July

   15.26    July    17.90    July    23.25    July    32.73    July    33.79      

August

   16.51    August    20.08    August    22.05    August    33.50    August    35.32      

September

   16.38    September    18.63    September    23.68    September    35.92    September    32.88      

October

   17.49    October    18.90    October    24.56    October    34.32    October    29.75      

November

   17.70    November    18.56    November    26.00    November    35.01    November    30.88      

December

   17.64    December    20.75    December    25.65    December    25.20    December    33.76      

NATIONAL OILWELL VARCO INC

National Oilwell Varco, Inc. is a provider of equipment and components used in oil and gas drilling and production operations, oilfield services, and supply chain integration services to the upstream oil and gas industry. It conducts operations in over 600 locations across six continents.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   19.05    January    20.43    January    25.71    January    36.88    January    76.07    January    60.64

February

   20.91    February    22.50    February    29.71    February    45.34    February    60.88    February    69.64

March

   25.33    March    22.39    March    28.28    March    46.70    March    64.12    March    77.79

April

   26.57    April    20.99    April    27.92    April    39.74    April    68.97    April    84.85

May

   25.54    May    24.32    May    27.68    May    45.00    May    66.06    May    94.45

June

   21.05    June    22.00    June    31.49    June    47.54    June    63.32      

July

   17.28    July    18.40    July    33.45    July    52.35    July    67.04      

August

   18.92    August    19.58    August    29.90    August    64.21    August    65.30      

September

   19.38    September    18.14    September    32.86    September    65.80    September    58.55      

October

   20.85    October    19.07    October    33.71    October    62.47    October    60.40      

November

   21.75    November    19.24    November    36.20    November    60.62    November    66.51      

December

   21.84    December    22.36    December    35.29    December    62.70    December    61.18      

 

Accelerated Return Notes   TS-15


LOGO

NOBLE CORPORATION

Noble Corporation is a provider of diversified services for the oil and gas industry. Noble performs contract drilling services with its fleet of 63 offshore drilling units located in key markets worldwide. This fleet consists of 13 semisubmersibles, three dynamically positioned drillships, 44 jackups and three submersibles.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   31.97    January    34.28    January    37.10    January    53.35    January    80.44    January    74.95

February

   35.23    February    36.30    February    40.60    February    57.07    February    73.91    February    70.22

March

   41.39    March    31.42    March    38.42    March    56.21    March    81.10    March    78.68

April

   43.35    April    30.95    April    37.16    April    50.90    April    78.94    April    84.21

May

   42.82    May    35.66    May    34.46    May    56.62    May    69.53    May    92.39

June

   38.60    June    34.30    June    37.89    June    61.51    June    74.42      

July

   32.40    July    32.87    July    38.72    July    67.18    July    71.75      

August

   31.07    August    36.18    August    40.22    August    71.30    August    65.39      

September

   31.00    September    33.99    September    44.95    September    68.46    September    64.18      

October

   32.32    October    34.33    October    45.68    October    64.38    October    70.10      

November

   33.95    November    34.58    November    48.45    November    72.07    November    77.25      

December

   35.15    December    35.78    December    49.74    December    70.54    December    76.15      

ROWAN COMPANIES, INC

Rowan Companies, Inc. is a provider of international and domestic contract drilling services. Rowan also owns and operates a manufacturing division that produces equipment for the drilling, mining and timber industries. Rowan provides contract drilling services utilizing a fleet of 21 self-elevating mobile offshore drilling platforms and 26 land drilling rigs.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   18.03    January    20.63    January    22.88    January    28.16    January    44.83    January    32.89

February

   18.65    February    19.63    February    23.50    February    31.68    February    40.25    February    30.63

March

   23.04    March    19.66    March    21.09    March    29.93    March    43.96    March    32.47

April

   25.38    April    20.50    April    22.30    April    26.53    April    44.33    April    36.64

May

   25.70    May    23.94    May    21.98    May    27.50    May    39.82    May    39.48

June

   21.45    June    22.40    June    24.33    June    29.71    June    35.59      

July

   19.57    July    21.95    July    24.42    July    34.16    July    33.87      

August

   20.58    August    25.04    August    24.32    August    37.20    August    34.20      

September

   18.64    September    24.58    September    26.40    September    35.49    September    31.63      

October

   20.39    October    23.95    October    25.53    October    32.99    October    33.38      

November

   21.30    November    21.17    November    25.90    November    35.88    November    36.02      

December

   22.70    December    23.17    December    25.90    December    35.64    December    33.20      

 

Accelerated Return Notes   TS-16


LOGO

SCHLUMBERGER LIMITED

Schlumberger is an oilfield services company, supplying technology, project management and information solutions that optimize performance in the oil and gas industry. As of December 31, 2006, Schlumberger employed approximately 70,000 people of over 140 nationalities operating in approximately 80 countries.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   28.20    January    18.85    January    30.59    January    34.02    January    63.73    January    63.49

February

   29.11    February    20.81    February    32.25    February    37.73    February    57.50    February    62.80

March

   29.41    March    19.01    March    31.93    March    35.24    March    63.29    March    69.10

April

   27.38    April    20.97    April    29.27    April    34.21    April    69.14    April    73.83

May

   25.82    May    24.31    May    28.59    May    34.19    May    65.57    May    77.87

June

   23.25    June    23.79    June    31.76    June    37.97    June    65.11      

July

   21.46    July    22.54    July    32.16    July    41.87    July    66.85      

August

   21.61    August    24.76    August    30.90    August    43.12    August    61.30      

September

   19.23    September    24.20    September    33.66    September    42.19    September    62.03      

October

   20.06    October    23.49    October    31.47    October    45.39    October    63.08      

November

   22.13    November    23.46    November    32.82    November    47.87    November    68.48      

December

   21.05    December    27.36    December    33.48    December    48.58    December    63.16      

SMITH INTERNATIONAL INC

Smith International, Inc. is a global provider of premium products and services to the oil and gas exploration and production industry. It provides a comprehensive line of technologically-advanced products and engineering services, including drilling and completion fluid systems, solids-control and separation equipment, waste-management services, oilfield production chemicals, three-cone and diamond drill bits, turbine products, tubulars, fishing services, drilling tools, underreamers, casing exit and multilateral systems, packers and liner hangers.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   13.76    January    15.92    January    24.23    January    29.60    January    45.00    January    39.68

February

   16.16    February    17.43    February    25.34    February    32.13    February    38.73    February    41.00

March

   16.94    March    17.62    March    26.76    March    31.37    March    38.96    March    48.05

April

   17.51    April    17.78    April    27.38    April    29.09    April    42.23    April    52.44

May

   18.35    May    20.45    May    24.97    May    29.38    May    40.96    May    55.51

June

   17.05    June    18.37    June    27.88    June    31.85    June    44.47      

July

   15.80    July    17.92    July    29.14    July    33.97    July    44.57      

August

   16.23    August    19.55    August    28.49    August    34.74    August    41.97      

September

   14.66    September    17.99    September    30.37    September    33.31    September    38.80      

October

   15.63    October    18.62    October    29.04    October    32.40    October    39.48      

November

   17.00    November    18.77    November    30.29    November    37.79    November    42.36      

December

   16.31    December    20.76    December    27.21    December    37.11    December    41.07      

 

Accelerated Return Notes   TS-17


LOGO

TIDEWATER INC

Tidewater Inc., a Delaware corporation, provides offshore supply vessels and marine support services to the offshore energy industry through the operation of the world’s largest fleet of offshore marine service vessels. The company operates in most of the world’s significant oil and gas exploration and production markets and provides services supporting all phases of offshore exploration, development and production, including: towing of and anchor handling of mobile drilling rigs and equipment; transporting supplies and personnel necessary to sustain drilling, workover and production activities; assisting in offshore construction activities; and a variety of specialized services including pipe laying, cable laying and 3-D seismic work.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   34.25    January    29.10    January    32.05    January    38.76    January    58.42    January    51.57

February

   38.98    February    30.62    February    33.23    February    41.27    February    52.25    February    51.97

March

   42.35    March    28.72    March    28.13    March    38.86    March    55.23    March    58.58

April

   43.50    April    26.90    April    28.21    April    34.47    April    58.24    April    63.21

May

   40.75    May    33.02    May    27.64    May    34.60    May    50.72    May    66.00

June

   32.92    June    29.37    June    29.80    June    38.12    June    49.20      

July

   26.92    July    26.70    July    30.35    July    40.37    July    47.71      

August

   28.50    August    28.72    August    29.18    August    44.54    August    47.61      

September

   26.99    September    28.30    September    32.55    September    48.67    September    44.19      

October

   28.17    October    27.41    October    30.93    October    45.96    October    49.73      

November

   30.93    November    27.61    November    33.93    November    45.20    November    55.33      

December

   31.10    December    29.88    December    35.61    December    44.46    December    48.36      

TRANSOCEAN INC

Transocean Inc. is an international provider of offshore contract drilling services for oil and gas wells. As of February 2, 2007, Transocean owned, had partial ownership interests in or operated 82 mobile offshore drilling units. As of this date, its fleet included 33 High-Specification semisubmersibles and drillships, 20 Other Floaters, 25 Jackups and four Other Rigs.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   30.64    January    22.77    January    26.94    January    44.00    January    81.15    January    77.37

February

   28.01    February    22.70    February    29.48    February    48.48    February    74.18    February    76.68

March

   33.23    March    20.45    March    27.89    March    51.46    March    80.30    March    81.70

April

   35.50    April    19.05    April    27.77    April    46.37    April    81.07    April    86.20

May

   38.17    May    23.37    May    26.73    May    49.81    May    81.37    May    98.24

June

   31.15    June    21.97    June    28.94    June    53.97    June    80.32      

July

   25.50    July    19.57    July    28.40    July    56.43    July    77.23      

August

   24.50    August    21.12    August    30.70    August    59.04    August    66.75      

September

   20.80    September    20.00    September    35.78    September    61.31    September    73.23      

October

   21.98    October    19.19    October    35.25    October    57.49    October    72.54      

November

   24.30    November    19.38    November    40.27    November    63.84    November    77.95      

December

   23.20    December    24.01    December    42.39    December    69.69    December    80.89      

 

Accelerated Return Notes   TS-18


LOGO

WEATHERFORD INTERNATIONAL LTD

Weatherford International Ltd. is a provider of equipment and services used for the drilling, evaluation, completion, production and intervention of oil and natural gas wells. Weatherford operates in approximately 100 countries through approximately 800 service, sales and manufacturing locations, which are located in nearly all of the oil and natural gas producing regions in the world.

 

    2002    Closing
Price
   2003    Closing
Price
   2004    Closing
Price
   2005    Closing
Price
   2006    Closing
Price
   2007    Closing
Price

January

   19.25    January    18.58    January    20.16    January    27.14    January    44.78    January    40.38

February

   23.05    February    20.02    February    22.40    February    29.81    February    43.12    February    40.15

March

   23.82    March    18.89    March    21.02    March    28.97    March    45.75    March    45.10

April

   24.94    April    20.12    April    21.74    April    26.08    April    52.93    April    52.49

May

   25.18    May    22.68    May    20.76    May    26.29    May    52.04    May    54.34

June

   21.60    June    20.95    June    22.49    June    28.99    June    49.62      

July

   20.28    July    18.14    July    23.39    July    31.64    July    46.84      

August

   20.42    August    18.79    August    23.17    August    33.86    August    43.00      

September

   18.57    September    18.89    September    25.51    September    34.33    September    41.72      

October

   20.02    October    17.38    October    26.13    October    31.30    October    41.08      

November

   20.17    November    16.39    November    26.69    November    34.76    November    44.91      

December

   19.97    December    18.00    December    25.65    December    36.20    December    41.79      

 

Accelerated Return Notes   TS-19