Subject to Completion

Preliminary Term Sheet dated August 30, 2007

  

Filed Pursuant to Rule 433   

Registration No. 333-132911

 

$             Accelerated Return Notes    Expected Pricing Date*      September       , 2007
Linked to a Global Equity Index Basket Due September     , 2008    Settlement Date*    September       , 2007
Term Sheet    Maturity Date*    September       , 2008
   CUSIP No.         

 

 

 

 

 

Merrill Lynch & Co., Inc.

 

 

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•        3-to-1 upside exposure, subject to a cap of 16.65%

 

•        A maturity of approximately 12.5 months

 

•        10% buffer; 1.111% loss for each percentage point decline in the Basket beyond 10%

 

•        Not listed on any securities exchange

 

•        No periodic payments of interest

  
  

 

The Notes will have the terms specified in this 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” on page TS-5 of this term sheet and beginning 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 (1)    $ 0         $   
Proceeds, before expenses, to Merrill Lynch & Co., Inc.    $ 10.00         $   

 

  (1) This note is being sold to a trust or other fee-based account, and thus no underwriting discount will be applied.

*Depending on the date the Notes are priced for initial sale to the public (the “Pricing Date”), which may be in August or September, the settlement date may occur in September or October 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.

“Standard & Poor’s®”, “Standard & Poor’s 500”, “S&P 500®” and S&P® are trademarks of The McGraw Hill Companies, Inc. and have been licensed for use by Merrill Lynch, Pierce, Fenner & Smith Incorporated and Merrill Lynch & Co., Inc. is an authorized sublicense.

“Nikkei 225 Index® “ is a service mark of Nikkei, Inc., and has been authorized for use by Merrill Lynch & Co., Inc.

“Dow Jones” is a service mark of Dow Jones & Company, Inc. and has been licensed for use for certain purposes by Merrill Lynch, Pierce, Fenner & Smith Incorporated. Merrill Lynch & Co., Inc. is an authorized sublicensee. The Notes are not sponsored, sold or promoted by Dow Jones. The “Dow Jones EURO STOXX 50SM” is proprietary and copyrighted material. The Dow Jones EURO STOXX 50SM and the related trademarks have been licensed for certain purposes by Merrill Lynch & Co., Inc and its subsidiaries. Neither STOXX Limited nor Dow Jones & Company, Inc. sponsors, endorses or promotes the Notes based on the Dow Jones EURO STOXX 50SM.

“STOXXSM” and “EURO STOXXSM” are trademarks of STOXX Limited and have been licensed for use by Merrill Lynch & Co., Inc.

Merrill Lynch & Co.

September     , 2007

 


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

Summary

The Accelerated Return NotesSM Linked to a Global Equity Index Basket due September      , 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 value of the Global Equity Index Basket (the “Basket”) increases moderately from the Starting Value of the Basket determined on the Pricing Date and the four preceding Market Measure Business Days to the Ending Value of the Basket determined on calculation 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, if the value of the Basket declines by more than 10%, may be less, and potentially significantly less, than the original public offering price of the Notes.

The Basket is comprised of the S&P 500® Index, the Dow Jones EURO STOXX 50SM Index and the Nikkei 225 Index® (each a “Basket Component Index” and together the “Basket Component Indices”). Each Basket Component Index will be assigned a weighting so that each Basket Component Index will contribute equally to the Basket level on the Pricing Date.

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Accelerated Return Notes   TS-2


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

Hypothetical Payout Profile

 

  
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This table reflects the hypothetical returns on the Notes, including the Capped Value of 16.65%. The blue line reflects the hypothetical returns on the Notes, while the green dotted line reflects the return of an investment in the Basket.

 

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

  

Hypothetical Payments at Maturity

Examples

Set forth below are three examples of payment at maturity calculations, assuming a Capped Value of $11.665

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

Starting Value: 100

Hypothetical Ending Value: 80

 

$10 +  

(

 

  $10 x  

(

 

 

80 - 100

 

 

+ 10%)

 

 

x1.111)

 

  = $8.89     
        100        

Payment at maturity (per unit) = $8.89

Example 2—The hypothetical Ending Value is 90% of the Starting Value:

Payment at maturity (per unit) = $10.00

Example 3—The hypothetical Ending Value is 103% of the Starting Value:

Starting Value: 100

Hypothetical Ending Value: 103

 

$10 +  

(

 

  $30 x  

(

 

 

103 - 100

 

 

)

 

 

)

 

  = $10.90     
        100        

Payment at maturity (per unit) = $10.90

Example 4—The hypothetical Ending Value is 120% of the Starting Value:

Starting Value: 100

Hypothetical Ending Value: 120

 

$10 +  

(

 

  $30 x  

(

 

 

120 - 100

 

 

)

 

 

)

 

  = $16.00     
        100        

Payment at maturity (per unit) = $11.665 (Payment at maturity cannot be greater than the Capped Value)

 

Accelerated Return Notes   TS-3


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

The following table illustrates, for the Starting Value and a range of hypothetical Ending Values of the Basket:

 

  Ÿ the percentage change from the hypothetical Starting Value to the hypothetical Ending Value;
  Ÿ the total amount payable on the maturity date per unit;
  Ÿ the total rate of return to holders of the Notes;
  Ÿ the pretax annualized rate of return to holders of the Notes; and
  Ÿ the pretax annualized rate of return of an investment in the stocks included in the Basket Component Indices, which includes an assumed aggregate dividend yield of 2.19% per annum, as more fully described below.

The table below reflects the Capped Value of $11.665.

 

Hypothetical

Ending Value

 

Percentage change
from the hypothetical

Starting Value

to the hypothetical

Ending Value

 

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 (1)

 

Pretax

annualized rate

of return of the stocks

included in the

Basket Component

Indices (1)(2)

  10.00

  -90.00%     $1.112   -88.89%   -130.31%   -174.75%

  20.00

  -80.00%     $2.226   -77.78%   -102.82%   -130.16%

  30.00

  -70.00%     $3.334   -66.67%     -81.95%   -105.13%

  40.00

  -60.00%     $4.445   -55.56%     -64.48%     -85.68%

  50.00

  -50.00%     $5.556   -44.44%     -49.16%     -69.22%

  60.00

  -40.00%     $6.667   -33.33%     -35.37%     -54.70%

  70.00

  -30.00%     $7.778   -22.22%     -22.73%     -41.57%

  80.00

  -20.00%     $8.889   -11.11%     -10.99%     -29.50%

  85.00

  -15.00%     $9.445     -5.56%       -5.41%     -18.27%

  90.00

  -10.00%   $10.000     0.00%       0.00%       -7.73%

     100.00 (3)

    0.00%   $10.000     0.00%       0.00%       2.23%

105.00

    5.00%   $11.500   15.00%     13.88%       7.02%

110.00

  10.00%        $11.665 (4)   16.65%     15.34%     11.70%

115.00

  15.00%   $11.665   16.65%     15.34%     16.27%

120.00

  20.00%   $11.665   16.65%     15.34%     20.75%

125.00

  25.00%   $11.665   16.65%     15.34%     25.12%

130.00

  30.00%   $11.665   16.65%     15.34%     29.42%

135.00

  35.00%   $11.665   16.65%     15.34%     33.62%

140.00

  40.00%   $11.665   16.65%     15.34%     37.75%

145.00

  45.00%   $11.665   16.65%     15.34%     41.81%

150.00

  50.00%   $11.665   16.65%     15.34%     45.79%

 

(1) The annualized rates of return specified in this column are calculated on a semiannual bond equivalent basis and assume an investment term from August 31, 2007 to September 15, 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 Basket Component Indices that equals the percentage change in the Basket from the Starting Value to the relevant hypothetical Ending Value;

 

  (b) a constant dividend yield of 2.19% per annum (which equals the weighted average of a dividend yield of 1.87% for the S&P 500 Index, 3.50% for the Dow Jones EURO STOXX 50 Index and 1.21% for the Nikkei 225 Index), paid quarterly from the date of initial delivery of the Notes, applied to the value of the Basket at the end of each quarter assuming this value increases or decreases linearly from the Starting Value to the applicable hypothetical Ending Value; and

 

  (c) no transaction fees or expenses.

 

(3) The Starting Value will be set at 100 on the Pricing Date.

 

(4) The total amount payable on the maturity date per unit of the Notes cannot exceed $11.665.

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.

 

Accelerated Return Notes   TS-4


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

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.

 

  Ÿ Your investment may result in a loss.

 

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

 

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

 

  Ÿ Your return on the Notes will not reflect dividends on the stocks included in the Basket Component Indices.

 

  Ÿ Your return is limited and may not reflect the return on a direct investment in the stocks included in the Basket Component Indices.

 

  Ÿ Your return may be affected by factors affecting international securities markets.

 

  Ÿ The value of the Basket Component Indices will not be adjusted for changes in exchange rates that might affect the Basket Component Indices.

 

  Ÿ A trading market for the Notes is not expected to develop and, if trading does develop, the market price you may receive or be quoted for your Notes on a date prior to the stated maturity date will be affected by this and other important factors, including our costs of developing, hedging and distributing the Notes.

 

  Ÿ Changes in the value of one or more Basket Component Indices may offset each other.

 

  Ÿ The respective publishers of the Basket Component Indices may adjust the Basket Component Indices in a way that affects their levels, and these respective publishers have no obligation to consider your interests.

 

  Ÿ 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.

 

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

 

  Ÿ Potential conflicts of interest could arise.

 

  Ÿ Tax consequences are uncertain.

 

Investor Considerations

 

You may wish to consider an investment in the Notes if:    The Notes may not be appropriate investments for you if:

Ÿ         You anticipate that the value of the Basket will appreciate moderately from the Starting Value to the Ending Value.

 

Ÿ         You accept that your investment may result in a loss, which could be significant, if the value of the Basket decreases by more than 10% from the Starting Value to the Ending Value.

 

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

 

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

 

Ÿ         You want exposure to the Basket with no expectation of dividends or other benefits of owning the underlying securities included in the Basket Component Indices.

 

Ÿ         You are willing to accept that a trading market for the Notes is not expected to develop.

  

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

 

Ÿ         You are seeking principal protection or preservation of capital.

 

Ÿ         You seek a return on your investment that will not be capped at a percentage that will be at least 16.65%.

 

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

 

Ÿ         You want to receive dividends paid on the stocks included in the Basket Component Indices.

 

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

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-5


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

The Basket

The Basket is designed to allow investors to participate in the percentage changes in the levels of the Basket Component Indices from the Starting Value to the Ending Value of the Notes. The Basket Component Indices are described in the section below. Each Basket Component Index will be assigned an equal weighting so that each Basket Component Index represents an equal portion of the value of the Basket on the Pricing Date.

The respective publishers of the Basket Component Indices have no obligations relating to the Notes or amounts to be paid to you, including any obligation to take the needs of ML&Co. or of holders of the Notes into consideration for any reason. These respective publishers will not receive any of the proceeds of the offering of the Notes and are not responsible for, and have not participated in, the offering of the Notes and are not responsible for, and will not participate in, the determination or calculation of the amount receivable by holders of the Notes.

For more information on the Basket, please see the section entitled “The Market Measure—Baskets” in the product supplement ARN-1.

If August 28, 2007 was the Pricing Date, for each Basket Component Index, the initial weighting, the closing level, the hypothetical Multiplier and the initial contribution to the Basket level would be as follows:

 

Basket Component Index                Bloomberg
Symbol
  

Region/

Country

  

Initial

Weighting

  

Closing

Level(1)

   Hypothetical
Multiplier(2)
   Initial
Basket
Level
Contribution

S&P 500 Index

   SPX    United States     1/3      1,461.02    0.02281283       1/3

Dow Jones EURO STOXX 50 Index

   SX5E    Europe     1/3      4,220.53    0.00789711       1/3

Nikkei 225 Index

   NKY    Japan     1/3    16,133.59    0.00206587       1/3

Starting Value

                  100.00

                                             

(1) This is the arithmetic average of the closing levels of each Basket Component Index from and including August 22, 2007 to and including August 28, 2007.
(2) The hypothetical Multiplier equals the weighting of the Basket Component Index (as a percentage) multiplied by 100, and then divided by the closing level of that Basket Component Index on August 28, 2007 (determined as described in footnote (1) above) and rounded to eight decimal places. The actual Multiplier will be determined on the Pricing Date and set forth in the final term sheet made available in connection with sales of the Notes.

While historical information on the Basket will not exist before the Pricing Date, the following graph sets forth the hypothetical historical performance of the Basket in the period from January 2002 through July 2007, based upon historical levels of each Basket Component Index, the hypothetical Multipliers and a Basket value of 100 on August 28, 2007. This hypothetical historical data on the Basket is not necessarily indicative of the future performance of the Basket or what the value of the Notes may be. Any historical upward or downward trend in the value of the Basket during any period set forth below is not an indication that the Basket is more or less likely to increase or decrease at any time over the term of the Notes.

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Accelerated Return Notes   TS-6


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

The Basket Component Indices

The S&P 500 Index

The S&P 500 Index is published by Standard & Poor’s and is intended to provide an indication of the pattern of common stock price movement in the United States. The calculation of the level of the S&P 500 Index, discussed below in further detail, is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. Relevant criteria employed by Standard & Poor’s include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the market price of that company’s common stock is generally responsive to changes in the affairs of the respective industry and the market value and trading activity of the common stock of that company. Ten main groups of companies comprise the S&P 500 Index: Consumer Discretionary; Consumer Staples; Energy; Financials; Health Care; Industrials; Information Technology; Materials; Telecommunication Services; and Utilities. Standard & Poor’s may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500 Index to achieve the objectives stated above. For more information on the S&P 500 Index, please see the section entitled “The S&P 500 Index” in the index supplement I-1.

The following graph sets forth the historical performance of the S&P 500 Index in the period from January 2002 through July 2007. This historical data on the S&P 500 Index is not necessarily indicative of the future performance of the S&P 500 Index or what the value of the Notes may be. Any historical upward or downward trend in the level of the S&P 500 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 August 28, 2007, the closing level of the S&P 500 Index was 1,432.36.

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Accelerated Return Notes   TS-7


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

The Dow Jones EURO STOXX 50 Index

The Dow Jones EURO STOXX 50 Index was created by STOXX Limited to reflect the market-capitalization weighted performance of large companies from the major industry groupings in Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain. The companies included in the Dow Jones EURO STOXX 50 Index account for approximately 60% of the free-float market capitalization of the Dow Jones EURO STOXX Total Market Index, which in turn accounts for approximately 95% of the free-float market capitalization of the countries with companies eligible for inclusion in the Dow Jones EURO STOXX 50 Index. The composition of the Dow Jones EURO STOXX 50 Index is reviewed annually, and changes are implemented on the third Friday in September, using market data from the end of August as the basis for the review process. Changes in the composition of the Dow Jones EURO STOXX 50 Index are made to ensure that the Dow Jones EURO STOXX 50 Index includes those companies which, within the eligible countries and within each industry sector, have the greatest market capitalization. Changes in the composition of the Dow Jones EURO STOXX 50 Index are made entirely by STOXX without consultation with the companies represented in the Dow Jones EURO STOXX 50 Index or ML&Co. The Dow Jones EURO STOXX 50 Index is also reviewed on an ongoing basis, and a change in the composition of the Dow Jones EURO STOXX 50 Index may be necessary if there have been extraordinary events for one of the issuers of the underlying securities, e.g., delisting, bankruptcy, merger or takeover. In these cases, the event is taken into account as soon as it is effective. The underlying securities may be changed at any time for any reason. For more information on the Dow Jones EURO STOXX 50 Index, please see the section entitled “The Dow Jones EURO STOXX 50 Index” in the index supplement I-1.

The following graph sets forth the historical performance of the Dow Jones EURO STOXX 50 Index in the period from January 2002 through July 2007. This historical data on the Dow Jones EURO STOXX 50 Index is not necessarily indicative of the future performance of the Dow Jones EURO STOXX 50 Index or what the value of the Notes may be. Any historical upward or downward trend in the level of the Dow Jones EURO STOXX 50 Index during any period set forth below is not an indication that the Dow Jones EURO STOXX 50 Index is more or less likely to increase or decrease at any time over the term of the Notes. On August 28, 2007, the closing level of the Dow Jones EURO STOXX 50 Index was 4,170.68.

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Accelerated Return Notes   TS-8


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

The Nikkei 225 Index

The Nikkei 225 Index is a stock index calculated, published and disseminated by Nikkei that measures the composite price performance of selected Japanese stocks. The Nikkei 225 Index is currently comprised of 225 stocks that trade on the Tokyo Stock Exchange (the “TSE”) and represents a broad cross-section of Japanese industry. All 225 of the stocks underlying the Nikkei 225 Index are stocks listed in the First Section of the TSE. Stocks listed in the First Section are among the most actively traded stocks on the TSE. Futures and options contracts on the Nikkei 225 Index are traded on the Singapore International Monetary Exchange, the Osaka Securities Exchange and the Chicago Mercantile Exchange. For more information on the Nikkei 225 Index, please see the section entitled “The Nikkei 225 Index” in the index supplement I-1.

The following graph sets forth the historical performance of the Nikkei 225 Index in the period from January 2002 through July 2007. This historical data on the Nikkei 225 Index is not necessarily indicative of the future performance of the Nikkei 225 Index or what the value of the Notes may be. Any historical upward or downward trend in the level of the Nikkei 225 Index during any period set forth below is not an indication that the Nikkei 225 Index is more or less likely to increase or decrease at any time over the term of the Notes. On August 28, 2007, the closing level of the Nikkei 225 Index was 15,900.64.

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Accelerated Return Notes   TS-9


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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

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 by 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 value of the Basket. 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 value of the Basket, 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 short-term or long-term capital gain or loss, depending upon the U.S. Holder’s holding period for the Note as of the date of such sale or exchange.

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 value of the Basket, 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 short-term or long-term capital gain or loss, depending upon the U.S. Holder’s holding period for the Note as of the maturity date.

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. See the discussion under the section entitled “United States Federal Income Taxation” in the accompanying product supplement ARN-1.

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) express an unqualified opinion on the consolidated financial statements and the related 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) express an unqualified opinion on management’s assessment regarding the effectiveness of internal control over financial reporting, and (3) express 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, and the three-month and six-month periods ended June 29, 2007 and June 30, 2006 which are 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 ML&Co.’s Quarterly Reports on Form 10-Q for the quarters ended March 30, 2007 and June 29, 2007 (which reports include 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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Linked to a Global Equity Index Basket Due September     , 2008  

 

 

Additional Note Terms

You should read this 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):

 

  Ÿ Product supplement ARN-1 dated June 6, 2007:

 

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

 

  Ÿ Index supplement I-1 dated June 6, 2007:

 

     http://www.sec.gov/Archives/edgar/data/65100/000119312507130785/d424b2.htm

 

  Ÿ MTN prospectus supplement, dated March 31, 2006:

 

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

 

  Ÿ General prospectus supplement dated March 31, 2006:

 

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

 

  Ÿ 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 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