Filed Pursuant to Rule 433
Registration No. 333-132911
Accelerated Return NotesSM (ARNs®)
to be issued by Merrill Lynch & Co., Inc.
Accelerated Return NotesSM (ARNs®) are senior unsecured debt securities to be issued by Merrill Lynch & Co., Inc. (ML & Co.) that offer investors the opportunity to earn a multiple of the upside potential of an underlying asset, up to a specific cap, while bearing one-for-one downside exposure in most cases.
This fact sheet is intended to provide an overview of ARNs and does not provide the terms of any specific series of ARNs. Prior to any decision to invest in a specific series of ARNs issued by ML & Co., investors should carefully review the related disclosure document which contains a detailed explanation of the terms of the offering of a specific series of ARNs as well as the risks, tax treatment and other relevant information about such a series of ARNs. Additionally, investors should consult their accounting, legal or tax advisors before investing in ARNs.
COMMON FEATURES
n Linked to the performance of an underlying index, stock or other asset
n May be structured to express a bullish or bearish view
n Enhanced participation in any positive return (or, in the case of bearish ARNs, negative return) generated by the underlying asset up to a stated cap
n Terms of approximately 9 to 24 months
n No principal protection
n No periodic interest payments
n Usually issued at an original offering price of $10 per unit
n May be listed on a U.S. exchange
HYPOTHETICAL PAYOUT PROFILE
The graph above is for illustration purposes only and assumes returns for hypothetical bullish ARNs. *Bearish ARNs will have different payout characteristics than the one depicted above. Hypothetical information is not a projection of future returns.
RATIONALE
When the market environment is expected to be moderately positive in the near term, investors may want to consider ARNs (or, bearish ARNs in a moderately negative market environment). ARNs are designed for investors who are willing to forego interest payments over the term of the ARNs in exchange for the possibility of an enhanced return over the performance of the underlying asset up to a specified cap. Investors must be able to tolerate downside risks.
ADVANTAGES
n Opportunity for enhanced return: ARNs offer enhanced return potential over the underlying asset. ARNs typically allow investors to earn a multiple of any positive return generated by the underlying asset (or negative return in the case of bearish ARNs), up to a stated cap. ARNs generally bear one-for-one downside risk when compared to a direct investment in the asset.
n Complement to a long-term strategy: ARNs have maturities typically ranging from 9 to 24 months. As a result, they can be integrated into investors’ overall investment strategy without tying up assets for longer periods of time. If investors want to sell the ARNs prior to maturity, they may be able to do so if a secondary market develops. The price paid for the ARNs in secondary market transactions may be higher or lower than the original purchase price.
n Choose from a variety of strategies: ARNs provide investors with exposure to a range of individual or baskets of underlying assets, such as market indices, stocks, commodities, currencies, and across asset classes.
n Diversification: Because ARNs can be linked to a variety of underlying assets, they provide investors with the opportunity to diversify their investment portfolios.
n Access to alternative markets: ARNs may provide access to an asset or group of assets not readily available to individual investors through traditional investment strategies.
n Low minimum investment: Generally issued at an initial offering price of $10 per unit.
