Filed Pursuant to Rule 424(b)(3)

Registration No. 333-132911

$9,300,000

Accelerated Return Notes

Linked to the PHLX Defense SectorSM Index Due November 7, 2008

Term Sheet No. 2841

  

Pricing Date

Settlement Date

Maturity Date

CUSIP No.

  

August 28, 2007

September 7, 2007

November 7, 2008

59022W414

 

 

 

 

 

Merrill Lynch & Co., Inc.

 

 

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Ÿ     3-to-1 upside exposure, subject to a cap of 14.40%

 

Ÿ     A maturity of approximately 14 months

 

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

 

Ÿ     No listing on any securities exchange

 

Ÿ     No periodic interest payments

  
  

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 (1)    $10.00       $9,300,000   
Underwriting discount (1)    $.20       $186,000   
Proceeds, before expenses, to Merrill Lynch & Co., Inc.    $9.80       $9,114,000   

 

  (1) The public offering price and underwriting discount for any purchase of between 100,000 to 299,999 units will be $9.95 per unit and $.15 per unit, respectively, for any purchase of between 300,000 to 499,999 units will be $9.90 per unit and $.10 per unit, respectively, and for any purchase of 500,000 units or more will be $9.85 per unit and $.05 per unit, respectively. The foregoing pricing description will apply to any single transaction by an individual investor.

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

“PHLX Defense SectorSM” and “DFXSM” 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 28, 2007


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Summary

The Accelerated Return NotesSM Linked to the PHLX Defense SectorSM Index (Bloomberg Symbol “DFX <Index>“) due November 7, 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 Defense Sector Index (the “Index”) increases moderately from the Starting Value of the Index, determined on August 28, 2007, the date the Notes were priced for initial sale to the public (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 return that is capped or a repayment that is 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 graph reflects the hypothetical returns on the Notes, including the Capped Value of 14.40%. The orange line reflects the hypothetical returns on the Notes, while the dotted blue line reflects the hypothetical return of an investment in the Index excluding dividends.

 

 

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

  

 

Hypothetical Payments at Maturity

Examples

Set forth below are three examples of payment at maturity calculations, including the Starting Value of 357.91 and the Capped Value of $11.44.

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

Starting Value: 357.91

Hypothetical Ending Value: 286.33

 

  $10 ×  

(

 

 

286.33

 

 

)

 

  = $8.00  
      357.91      

Payment at maturity (per unit) = $8.00

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

Starting Value: 357.91

Hypothetical Ending Value: 368.65

 

  $10 +  

(

 

  $30 ×  

(

 

 

368.65 - 357.91

 

 

)

 

 

)

 

  = $10.90  
          357.91        

Payment at maturity (per unit) = $10.90

Example 3—The hypothetical Ending Value is 120% of the Starting Value:

Starting Value: 357.91

Hypothetical Ending Value: 429.49

 

  $10 +  

(

 

  $30 ×  

(

 

 

429.49 - 357.91

 

 

)

 

 

)

 

  = $16.00  
          357.91        

Payment at maturity (per unit) = $11.44 (Payment at maturity cannot be greater than the Capped Value)

 

Accelerated Return Notes   TS-3


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The following table illustrates, for the Starting Value of 357.91 (the closing level of the Index as obtained from Bloomberg page DFX <Index> on the Pricing Date) and a range of hypothetical Ending Values of the Index:

 

  Ÿ the percentage change from the 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 a hypothetical investment in the stocks included in the Index, which includes an assumed aggregate dividend yield of 1.02% per annum, as more fully described below.

The table below includes the Capped Value of $11.44.

 

Hypothetical
Ending Value

  

Percentage change
from the
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)

  178.96

   -50.00%      $5.00    -50.00%    -51.40%    -50.19%

  214.75

   -40.00%      $6.00    -40.00%    -39.32%    -38.18%

  250.54

   -30.00%      $7.00    -30.00%    -28.35%    -27.25%

  286.33

   -20.00%      $8.00    -20.00%    -18.24%    -17.18%

  322.12

   -10.00%      $9.00    -10.00%      -8.83%      -7.79%

  329.28

     -8.00%      $9.20      -8.00%      -7.02%      -5.99%

  336.44

     -6.00%      $9.40      -6.00%      -5.23%      -4.20%

  343.59

     -4.00%      $9.60      -4.00%      -3.47%      -2.44%

  350.75

     -2.00%      $9.80      -2.00%      -1.72%      -0.70%

       357.91 (3)

      0.00%    $10.00       0.00%       0.00%       1.02%

  365.07

      2.00%    $10.60       6.00%       5.06%       2.72%

  372.23

      4.00%    $11.20     12.00%       9.95%       4.40%

  379.38

      6.00%         $11.44 (4)     14.40%     11.87%       6.07%

  386.54

      8.00%    $11.44     14.40%     11.87%       7.71%

  393.70

    10.00%    $11.44     14.40%     11.87%       9.34%

  429.49

    20.00%    $11.44     14.40%     11.87%     17.25%

  465.28

    30.00%    $11.44     14.40%     11.87%     24.78%

 

(1) The annualized rates of return specified in this column are calculated on a semiannual bond equivalent basis and assume an investment term from September 7, 2007 to November 7, 2008, the term 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 Starting Value to the relevant hypothetical Ending Value;

 

  (b) a constant dividend yield of 1.02% 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 Starting Value to the applicable hypothetical Ending Value; and

 

  (c) no transaction fees or expenses.

 

(3) This is the Starting Value.

 

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

The above figures are for purposes of illustration only. The actual amount received by you and the resulting total and pretax annualized rates of return will depend on the actual Ending Value and the 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.

 

  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 Index.

 

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

 

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

 

  Ÿ 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.

 

  Ÿ 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.

 

  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.

Additional Risk Factors

The stocks included in the Index are concentrated in one industry. All of the stocks included in the Index are issued by companies in the aerospace and defense industry. As a result, the stocks that will determine the performance of the Notes are concentrated in one industry. Although an investment in the Notes will not give holders any ownership or other direct interests in the stocks underlying the Index, the return on an investment in the Notes will be subject to certain risks associated with direct equity investments in the defense industry.

The Index is not necessarily representative of the defense industry. While the stocks comprising the Index are common stocks of companies generally considered to be involved in various segments of the defense industry, the stocks underlying the Index and the Index may not necessarily follow the price movements of the entire defense industry generally. If the stocks underlying the Index decline in value, the Index will decline in value even if common stock prices in the defense 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 DFX <Index>.

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 Index 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 level of the Index decreases 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 Index with no expectation of dividends or

        other benefits of owning the underlying securities.

 

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

        expected to develop.

  

Ÿ     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.

 

Ÿ     You are seeking principal protection or preservation of capital.

 

Ÿ     You seek a return on your investment that will not be capped at

        14.40%.

 

Ÿ     You seek interest payments or other current income on your

        investment.

 

Ÿ     You want to receive dividends other distributions paid on the

        stocks included in the Index.

 

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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The Index

PHLX Defense SectorSM Index

All disclosure contained in this term sheet 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 the Philadelphia Stock Exchange (the “PHLX”). ML&Co. and MLPF&S have not independently verified and make no representation as to the accuracy or completeness of such information. None of ML&Co., the calculation agent and MLPF&S accepts any responsibility for the calculation, maintenance or publication of the PHLX Defense Index or any successor index.

The Index is designed to measure the performance of seventeen companies whose primary lines of business are development, support or sale of the products or services relating to the aerospace and defense industries. The Index (index symbol “DFX”) is published by the PHLX. The initial value of the Index, which was set at 150 on July 20, 2001. Options commenced trading on the Index on November 19, 2001.

The Index is an equal dollar weighted index, which assigns equivalent influence to each component stock by representing them in approximate equal dollar amounts. The Index is rebalanced once per quarter to ensure that the components continue to have equal influence. Currently, the Index is rebalanced following the close of trading on the third Friday of January, April, July and October.

The Index is monitored or benchmarked against the value at which it was initially set. The Index will reflect the aerospace and defense industry only to the extent that the underlying issues are representative of the industry. The PHLX will adjust the composition of the Index due to mergers of component issuers, because issues no longer reflect the particular index group, or to improve the Index’s correlation to the aerospace and defense industry.

The base market divisor, an element in the calculation of the Index, may be adjusted periodically as the companies that comprise the Index merge, issue additional stock, or are removed because they no longer reflect the particular group. Changes in the base market divisor will not affect the options on the Index or the index value.

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 term sheet 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.

    License Agreement

The PHLX and MLPF&S have entered into or, to the extent required, will enter into a non-exclusive license agreement providing for the license to MLPF&S, in exchange for a fee, of the right to use the 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 term sheet:

“PHLX Defense SectorSM Index (DFXSM) (“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 DEFENSE SECTORSM INDEX (DFXSM) (“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-6


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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 July 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 the Pricing Date, the closing level of the Index was 357.91.

 

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Accelerated Return Notes   TS-7


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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 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 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.

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-8


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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 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-9


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ANNEX A

This annex contains tables which provide a brief synopsis of the business of each of the stocks that comprise the Index as well as the split-adjusted month-end closing market prices for each stock in each month from January 2002 through July 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 stocks underlying the Index or the Index. The following information, with respect to the business of each company issuing a common stock underlying the Index, 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.

ALLIANT TECHSYSTEMS INC.

Alliant Techsystems Inc. is a Delaware corporation engaged in the defense industry. Alliant Techsystems Inc. is a leading supplier of aerospace and defense products to the U.S. government, allied nations, and prime contractors. It is also a major supplier of ammunition and related accessories to law enforcement agencies and commercial customers. Alliant Techsystems Inc. may conduct its operations through separate legal entities.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   59.33   January   54.36   January   56.00   January   66.58   January   77.50   January     81.00
February   62.61   February   48.30   February   57.10   February   69.23   February   76.42   February     86.55
March   67.99   March   54.01   March   54.40   March   71.45   March   77.17   March     87.92
April   71.80   April   53.72   April   59.29   April   69.18   April   79.99   April     93.13
May   72.52   May   50.47   May   61.25   May   71.70   May   78.06   May   101.00
June   63.80   June   51.91   June   63.34   June   70.60   June   76.35   June     99.15
July   61.40   July   54.90   July   62.96   July   73.00   July   80.14   July     99.11
August   68.22   August   50.94   August   57.94   August   76.93   August   76.49    
September   69.25   September   48.05   September   60.50   September   74.65   September   81.06    
October   60.15   October   51.76   October   57.49   October   70.22   October   77.21    
November   59.00   November   51.03   November   65.87   November   75.88   November   77.31    
December   62.35   December   57.76   December   65.38   December   76.17   December   78.19    

THE BOEING COMPANY

The Boeing Company, together with its subsidiaries is one of the world’s major aerospace firms. It operates in five principal segments: commercial airplanes, three segments that comprise its Integrated Defense Systems business (precision engagement and mobility systems, network and space systems and support systems) and Boeing Capital Corporation.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   40.95   January   31.59   January   41.75   January   50.60   January   68.31   January     89.56
February   45.96   February   27.56   February   43.37   February   54.97   February   72.69   February     87.27
March   48.25   March   25.06   March   41.07   March   58.46   March   77.93   March     88.91
April   44.60   April   27.28   April   42.69   April   59.52   April   83.45   April     93.00
May   42.65   May   30.67   May   45.80   May   63.90   May   83.25   May   100.59
June   45.00   June   34.32   June   51.09   June   66.00   June   81.91   June     96.16
July   41.52   July   33.12   July   50.75   July   66.01   July   77.42   July   103.43
August   37.07   August   37.39   August   52.22   August   67.02   August   74.90    
September   34.13   September   34.33   September   51.62   September   67.95   September   78.85    
October   29.75   October   38.49   October   49.90   October   64.64   October   79.86    
November   34.00   November   38.39   November   53.57   November   68.19   November   88.53    
December   32.99   December   42.14   December   51.77   December   70.24   December   88.84    

 

Accelerated Return Notes   TS-10


LOGO

ROCKWELL COLLINS, INC.

Rockwell Collins, Inc. provides design, production and support of communications and aviation electronics for military and commercial customers worldwide. While its products and systems are primarily focused on aviation applications, its government systems business also offers products and systems for ground and shipboard applications. It also provide a wide range of services and support to customers through a network of service centers worldwide, including equipment repair and overhaul, service parts, field service engineering, training, technical information services and aftermarket used equipment sales. It operates in multiple countries and is headquartered in Cedar Rapids, Iowa.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   22.35   January   20.63   January   32.69   January   42.90   January   46.92   January   68.21
February   23.25   February   19.65   February   32.54   February   46.05   February   53.15   February   65.48
March   25.22   March   18.37   March   31.61   March   47.59   March   56.35   March   66.93
April   23.82   April   21.38   April   32.25   April   45.88   April   57.20   April   65.67
May   26.00   May   22.98   May   30.04   May   49.39   May   54.60   May   70.67
June   27.42   June   24.63   June   33.32   June   47.68   June   55.87   June   70.64
July   25.70   July   26.03   July   34.22   July   48.80   July   53.37   July   68.70
August   21.25   August   27.05   August   34.39   August   48.13   August   52.43    
September   21.94   September   25.25   September   37.14   September   48.32   September   54.84    
October   22.53   October   27.45   October   35.47   October   45.82   October   58.08    
November   21.40   November   26.89   November   39.86   November   45.70   November   60.33    
December   23.26   December   30.03   December   39.44   December   46.47   December   63.29    

DRS TECHNOLOGIES, INC.

DRS Technologies, Inc. is a supplier of defense electronic products, systems and military support services. It provides high-technology products and services to all branches of the U.S. military, major aerospace and defense prime contractors, government intelligence agencies, international military forces and industrial markets. It focuses on several key areas of importance to the U.S. Department of Defense, such as command and control, intelligence, surveillance, reconnaissance, power management, battlefield digitization, advanced communications and networks, military vehicle diagnostics, troop sustainment and technical support.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January     January   26.25   January   28.71   January   40.60   January   49.69   January   55.40
February     February   22.59   February   30.16   February   41.31   February   52.77   February   52.99
March     March   25.01   March   27.98   March   42.50   March   54.87   March   52.17
April   46.25   April   28.01   April   28.25   April   44.25   April   55.53   April   50.31
May   39.20   May   25.00   May   27.99   May   47.08   May   53.26   May   51.35
June   42.75   June   27.92   June   31.90   June   51.28   June   48.75   June   57.27
July   35.80   July   27.43   July   35.72   July   52.00   July   46.29   July   52.36
August   36.90   August   26.00   August   36.38   August   51.45   August   41.37    
September   37.22   September   24.13   September   37.44   September   49.36   September   43.67    
October   33.14   October   24.06   October   36.22   October   49.26   October   44.22    
November   33.36   November   26.50   November   42.72   November   49.40   November   49.69    
December   31.33   December   27.78   December   42.71   December   51.42   December   52.68    

 

Accelerated Return Notes   TS-11


LOGO

EDO CORPORATION

EDO Corporation designs and manufactures a diverse range of products for aerospace, defense, intelligence, and commercial markets. It serves all branches of the military, as well as international markets. Major product groups include: defense electronics, communications, aircraft-armament systems, undersea warfare, integrated composite structures and professional and engineering services.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   26.04   January   17.47   January   23.90   January   31.95   January   27.63   January   23.22
February   26.55   February   16.10   February   25.32   February   31.80   February   29.13   February   24.04
March   27.01   March   18.10   March   24.08   March   30.05   March   30.85   March   26.20
April   30.95   April   18.85   April   22.70   April   29.83   April   26.13   April   27.50
May   27.64   May   16.74   May   21.48   May   28.47   May   26.17   May   33.57
June   28.50   June   17.70   June   24.12   June   29.91   June   24.34   June   32.87
July   18.35   July   19.84   July   23.68   July   30.85   July   22.44   July   33.05
August   23.85   August   20.52   August   26.19   August   28.09   August   23.33    
September   22.41   September   20.25   September   27.75   September   30.03   September   22.88    
October   16.75   October   22.30   October   27.98   October   28.90   October   23.91    
November   20.27   November   20.80   November   30.47   November   26.63   November   21.93    
December   20.78   December   24.65   December   31.75   December   27.06   December   23.74    

EMBRAER-EMPRESA BRASILEIRA DE AERONÁUTICA S.A.

Embraer is one of the leading manufacturers of commercial aircraft in the world, based on 2006 net sales of commercial aircraft, with a global customer base. Its focus is achieving customer satisfaction with a range of products addressing the commercial airline, defense and executive jet markets. It is the leading supplier of defense aircraft for the Brazilian Air Force based on number of aircraft sold, and has also sold aircraft to military forces in Europe, Asia and Latin America.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   19.22   January   14.10   January   29.47   January   31.85   January   40.65   January   40.55
February   19.22   February   10.31   February   30.19   February   33.76   February   39.75   February   45.35
March   20.18   March   11.59   March   32.10   March   31.30   March   36.85   March   45.86
April   23.03   April   13.87   April   25.80   April   28.84   April   38.83   April   46.91
May   23.60   May   14.75   May   25.46   May   30.30   May   33.45   May   48.48
June   21.40   June   19.10   June   28.59   June   33.07   June   36.47   June   48.21
July   17.10   July   18.22   July   28.60   July   32.34   July   34.53   July   43.23
August   17.48   August   20.39   August   26.55   August   35.86   August   38.60    
September   13.30   September   21.10   September   26.40   September   38.60   September   39.27    
October   15.68   October   25.95   October   26.54   October   38.79   October   41.63    
November   14.62   November   29.42   November   27.97   November   37.71   November   41.64    
December   15.90   December   35.03   December   33.44   December   39.10   December   41.43    

 

Accelerated Return Notes   TS-12


LOGO

ESTERLINE TECHNOLOGIES CORPORATION

Esterline, a Delaware corporation formed in 1967, is a leading specialized manufacturing company principally serving aerospace and defense customers. It designs, manufacture and market highly engineered products and systems for application within the industries it serves.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   17.45   January   15.90   January   27.75   January   30.01   January   41.37   January   39.97
February   19.90   February   17.18   February   27.80   February   32.88   February   41.64   February   40.92
March   20.40   March   16.91   March   24.85   March   34.55   March   42.75   March   41.07
April   23.25   April   17.75   April   24.75   April   32.32   April   44.32   April   41.73
May   20.75   May   17.85   May   25.18   May   38.90   May   41.01   May   45.50
June   22.70   June   17.41   June   29.53   June   40.08   June   41.59   June   48.31
July   17.75   July   19.15   July   31.39   July   42.74   July   42.33   July   46.29
August   18.65   August   19.76   August   31.73   August   43.65   August   35.03    
September   16.64   September   19.29   September   30.59   September   37.89   September   33.76    
October   18.15   October   22.15   October   31.60   October   37.65   October   37.70    
November   19.65   November   23.18   November   35.60   November   41.11   November   38.94    
December   17.67   December   26.67   December   32.65   December   37.19   December   40.23    

GENERAL DYNAMICS CORPORATION

General Dynamics is a market leader in business aviation; land and expeditionary combat vehicles and systems, armaments, and munitions; shipbuilding and marine systems; and mission-critical information systems and technologies. Incorporated in Delaware, the company employs approximately 81,000 people and has a global presence.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   44.78   January   33.07   January   45.72   January   51.63   January   58.18   January   78.15
February   45.44   February   29.63   February   46.06   February   52.68   February   61.64   February   76.46
March   46.98   March   27.54   March   44.67   March   53.53   March   63.98   March   76.40
April   48.55   April   31.04   April   46.81   April   52.53   April   65.62   April   78.50
May   50.30   May   33.41   May   47.82   May   53.99   May   63.64   May   80.24
June   53.18   June   36.25   June   49.65   June   54.77   June   65.46   June   78.22
July   40.46   July   39.67   July   49.41   July   57.60   July   67.02   July   78.56
August   39.32   August   43.06   August   48.82   August   57.30   August   67.55    
September   40.67   September   39.03   September   51.05   September   59.78   September   71.67    
October   39.57   October   41.85   October   51.06   October   58.15   October   71.10    
November   40.73   November   40.44   November   54.18   November   57.15   November   74.84    
December   39.69   December   45.20   December   52.30   December   57.03   December   74.35    

 

Accelerated Return Notes   TS-13


LOGO

GENERAL ELECTRIC COMPANY

GE is one of the largest and most diversified industrial corporations in the world. It has engaged in developing, manufacturing and marketing a wide variety of products for the generation, transmission, distribution, control and utilization of electricity since our incorporation in 1892. Over the years, it has developed or acquired new technologies and services that have broadened considerably the scope of its activities. Its products include major appliances; lighting products; industrial automation products; medical diagnostic imaging systems; bioscience assays and separation technology products; electrical distribution and control equipment; locomotives; power generation and delivery products; nuclear power support services and fuel assemblies; commercial and military aircraft jet engines; chemicals and equipment for treatment of water and process systems; security equipment and systems; and engineered materials, such as plastics.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   37.15   January   23.14   January   33.63   January   36.13   January   32.75   January   36.05
February   38.50   February   24.05   February   32.52   February   35.20   February   32.87   February   34.92
March   37.45   March   25.50   March   30.52   March   36.06   March   34.78   March   35.36
April   31.55   April   29.45   April   29.95   April   36.20   April   34.59   April   36.86
May   31.14   May   28.70   May   31.12   May   36.48   May   34.26   May   37.58
June   29.05   June   28.68   June   32.40   June   34.65   June   32.96   June   38.28
July   32.20   July   28.44   July   33.25   July   34.50   July   32.69   July   38.76
August   30.15   August   29.57   August   32.79   August   33.61   August   34.06    
September   24.65   September   29.81   September   33.58   September   33.67   September   35.30    
October   25.25   October   29.01   October   34.12   October   33.91   October   35.11    
November   27.10   November   28.67   November   35.36   November   35.72   November   35.28    
December   24.35   December   30.98   December   36.50   December   35.05   December   37.21    

GENCORP, INC.

GenCorp, Inc. is a technology-based manufacturer of aerospace and defense systems with a real estate business segment that includes activities related to the entitlement, sale, and leasing of excess real estate assets. Its continuing operations are organized into two segments: Aerospace and Defense and Real Estate.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   11.38   January     7.70   January   10.60   January   18.58   January   20.03   January   14.96
February   10.87   February     6.80   February   11.28   February   18.67   February   19.25   February   13.89
March   15.72   March     6.25   March   10.83   March   20.00   March   20.55   March   13.84
April   15.70   April     7.60   April   10.61   April   19.01   April   19.54   April   13.32
May   14.60   May     8.02   May   11.36   May   18.90   May   18.14   May   13.41
June   14.30   June     8.89   June   13.39   June   19.26   June   16.03   June   13.07
July   11.02   July     9.20   July   11.81   July   20.17   July   14.71   July   11.82
August   10.85   August   10.26   August   12.08   August   18.85   August   13.77    
September   10.06   September     8.95   September   13.55   September   18.65   September   12.84    
October     8.18   October     9.47   October   13.90   October   18.34   October   13.10    
November     8.10   November   10.01   November   16.81   November   18.26   November   13.81    
December     7.92   December   10.77   December   18.57   December   17.75   December   14.02    

 

Accelerated Return Notes   TS-14


LOGO

ITT CORPORATION

ITT Corporation, with 2006 sales and revenues of approximately $7.81 billion, is a global multi-industry company engaged directly and through its subsidiaries in the design and manufacture of a wide range of engineered products and related services.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   26.55   January   28.08   January   37.27   January   42.65   January   51.25   January   59.65
February   29.50   February   28.12   February   37.75   February   43.98   February   52.50   February   59.22
March   31.52   March   26.71   March   38.17   March   45.12   March   56.22   March   60.32
April   34.93   April   29.15   April   39.65   April   45.23   April   56.23   April   63.81
May   33.50   May   31.33   May   40.28   May   47.50   May   52.15   May   67.30
June   35.30   June   32.73   June   41.50   June   48.82   June   49.50   June   68.28
July   31.94   July   33.35   July   39.98   July   53.20   July   50.55   July   62.88
August   33.99   August   32.54   August   39.55   August   54.56   August   48.95    
September   31.17   September   29.92   September   40.00   September   56.80   September   51.27    
October   32.49   October   34.00   October   40.57   October   50.80   October   54.39    
November   30.14   November   32.96   November   42.56   November   54.38   November   53.95    
December   30.35   December   37.11   December   42.23   December   51.41   December   56.82    

L3 COMMUNICATIONS HOLDINGS, INC.

L-3 is a prime system contractor in aircraft modernization and maintenance, Command, Control, Communications, Intelligence, Surveillance and Reconnaissance systems, and government services. L-3 is also a leading merchant supplier of high technology products and systems. Its customers include the U.S. Department of Defense and its prime contractors, the U.S. Department of Homeland Security, U.S. Government intelligence agencies, major aerospace and defense contractors, allied foreign government ministries of defense, commercial customers and certain other U.S. federal, state and local government agencies.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   51.26   January   44.77   January   53.46   January   71.41   January   81.02   January   82.34
February   54.93   February   36.12   February   53.52   February   72.10   February   83.11   February   87.10
March   56.00   March   40.17   March   59.48   March   71.02   March   85.79   March   87.47
April   63.89   April   44.40   April   61.74   April   70.97   April   81.70   April   89.93
May   63.10   May   43.35   May   63.74   May   70.78   May   72.96   May   95.26
June   54.00   June   43.49   June   66.80   June   76.58   June   75.42   June   97.39
July   46.22   July   49.08   July   61.15   July   78.23   July   73.65   July   97.56
August   50.89   August   51.09   August   62.64   August   81.88   August   75.39    
September   52.70   September   43.25   September   67.00   September   79.07   September   78.33    
October   47.00   October   46.74   October   65.93   October   77.82   October   80.52    
November   44.94   November   47.05   November   74.42   November   74.50   November   82.25    
December   44.91   December   51.36   December   73.24   December   74.35   December   81.78    

 

Accelerated Return Notes   TS-15


LOGO

LOCKHEED MARTIN CORPORATION

Lockheed Martin Corporation principally researches, designs, develops, manufactures, integrates, operates and sustains advanced technology systems and products, and provides a broad range of management, engineering, technical, scientific, logistic and information services. It serves customers in domestic and international defense and civil markets, with its principal customers being agencies of the U.S. Government. It was formed in 1995 by combining the businesses of Lockheed Corporation and Martin Marietta Corporation. It is a Maryland corporation.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   52.97   January   51.05   January   48.62   January   57.81   January   67.65   January   97.19
February   56.41   February   45.72   February   46.28   February   59.22   February   72.87   February   97.28
March   57.58   March   47.55   March   45.64   March   61.06   March   75.13   March   97.02
April   62.90   April   50.05   April   47.70   April   60.95   April   75.90   April   96.14
May   62.05   May   46.42   May   49.54   May   64.89   May   72.49   May   98.10
June   69.50   June   47.57   June   52.08   June   64.87   June   71.74   June   94.13
July   64.11   July   52.34   July   52.99   July   62.40   July   79.68   July   98.48
August   63.32   August   51.23   August   53.78   August   62.24   August   82.60    
September   64.67   September   46.15   September   55.78   September   61.04   September   86.06    
October   57.90   October   46.36   October   55.09   October   60.56   October   86.93    
November   52.20   November   45.94   November   60.84   November   60.60   November   90.45    
December   57.75   December   51.40   December   55.55   December   63.63   December   92.07    

NORTHROP GRUMMAN CORPORATION

Northrop Grumman Corporation is an integrated enterprise consisting of some 25 formerly separate businesses that cover the entire defense spectrum, from undersea to outer space and into cyberspace.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   55.81   January   45.71   January   48.36   January   51.88   January   62.13   January   70.94
February   53.52   February   43.35   February   50.56   February   52.90   February   64.10   February   71.85
March   56.53   March   42.90   March   49.21   March   53.98   March   68.29   March   74.22
April   60.33   April   43.98   April   49.63   April   54.84   April   66.90   April   73.64
May   60.66   May   43.98   May   51.57   May   55.72   May   64.68   May   75.61
June   62.50   June   43.15   June   53.70   June   55.25   June   64.06   June   77.87
July   55.35   July   46.12   July   52.60   July   55.45   July   66.19   July   76.10
August   61.40   August   47.74   August   51.65   August   56.09   August   66.81    
September   62.02   September   43.11   September   53.33   September   54.35   September   68.07    
October   51.57   October   44.70   October   51.75   October   53.65   October   66.39    
November   48.46   November   46.32   November   56.33   November   57.37   November   66.93    
December   48.50   December   47.80   December   54.36   December   60.11   December   67.70    

 

Accelerated Return Notes   TS-16


LOGO

RAYTHEON COMPANY

Raytheon Company and its subsidiaries are an industry leader in defense and government electronics, space, information technology and technical services. It designs, develops, manufactures, integrates, supports and provides a wide range of technologically advanced products, services and solutions for governmental and commercial customers in the United States and abroad. It acts as a prime contractor or major subcontractor on numerous defense and related programs for the U.S. government.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   38.27   January   30.09   January   30.51   January   37.40   January   40.97   January   51.90
February   38.69   February   27.08   February   30.40   February   38.24   February   43.40   February   53.55
March   41.05   March   28.37   March   31.34   March   38.70   March   45.84   March   52.46
April   42.30   April   29.93   April   32.26   April   37.61   April   44.27   April   53.54
May   44.20   May   32.04   May   33.25   May   39.16   May   45.85   May   55.60
June   40.75   June   32.84   June   35.77   June   39.12   June   44.57   June   53.89
July   32.58   July   30.70   July   33.55   July   39.33   July   45.07   July   55.36
August   35.00   August   32.06   August   34.73   August   39.22   August   47.21    
September   29.30   September   28.00   September   37.98   September   38.02   September   48.01    
October   29.50   October   26.48   October   36.48   October   36.95   October   49.95    
November   29.17   November   27.71   November   40.34   November   38.42   November   51.04    
December   30.75   December   30.04   December   38.83   December   40.15   December   52.80    

TELEDYNE TECHNOLOGIES, INC.

Teledyne Technologies Incorporated is a provider of sophisticated electronic components, instruments and communications products, including defense electronics, monitoring and control instrumentation for marine, environmental and industrial applications, data acquisition and communications equipment for airlines and business aircraft and components, and subsystems for wireless and satellite communications. It also provides systems engineering solutions and information technology services for defense, space and environmental applications, and manufacture general aviation and missile engines and components, as well as on-site gas and power generation systems.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   15.50   January   12.55   January   19.25   January   30.07   January   32.68   January   38.15
February   16.35   February   12.75   February   20.26   February   30.58   February   33.13   February   38.05
March   16.58   March   12.66   March   18.70   March   31.30   March   35.60   March   37.44
April   17.00   April   14.08   April   18.98   April   30.42   April   36.41   April   44.11
May   20.15   May   15.04   May   18.42   May   31.62   May   34.25   May   46.08
June   20.75   June   13.10   June   20.02   June   32.58   June   32.76   June   45.95
July   15.55   July   15.18   July   21.66   July   37.95   July   38.16   July   44.37
August   17.80   August   15.25   August   24.15   August   38.63   August   38.34    
September   18.16   September   14.55   September   25.04   September   34.47   September   39.60    
October   14.45   October   16.49   October   25.57   October   35.26   October   41.72    
November   14.86   November   17.18   November   29.70   November   32.74   November   40.20    
December   15.68   December   18.85   December   29.43   December   29.10   December   40.13    

 

Accelerated Return Notes   TS-17


LOGO

UNITED TECHNOLOGIES CORP.

United Technologies Corporation provides high technology products and services to the building systems and aerospace industries worldwide. United Technologies Corporation conducts its business through six principal segments: Otis, Carrier, UTC Fire & Security, Pratt & Whitney, Hamilton Sundstrand and Sikorsky. The segments are based on the management structure of the businesses and the grouping of similar operating companies, where each management organization has general operating autonomy over a range of products and services.

 

2002   Closing
Price
  2003   Closing
Price
  2004   Closing
Price
  2005   Closing
Price
  2006   Closing
Price
  2007   Closing
Price
January   34.37   January   31.79   January   47.77   January   50.34   January   58.37   January   68.02
February   36.48   February   29.29   February   46.06   February   49.94   February   58.50   February   65.63
March   37.10   March   28.89   March   43.15   March   50.83   March   57.97   March   65.00
April   35.09   April   30.91   April   43.13   April   50.86   April   62.81   April   67.13
May   34.44   May   34.13   May   42.31   May   53.35   May   62.52   May   70.55
June   33.95   June   35.42   June   45.74   June   51.35   June   63.42   June   70.93
July   34.75   July   37.62   July   46.75   July   50.70   July   62.19   July   72.97
August   29.70   August   40.13   August   46.96   August   50.00   August   62.71    
September   28.25   September   38.64   September   46.69   September   51.84   September   63.35    
October   30.84   October   42.35   October   46.41   October   51.28   October   65.72    
November   31.24   November   42.85   November   48.79   November   53.84   November   64.53    
December   30.97   December   47.39   December   51.68   December   55.91   December   62.52    

 

Accelerated Return Notes   TS-18