PRICING SUPPLEMENT DATED AUGUST 16, 2005 File No. 333-122639
- ---------------------------------------- Rule 424(b)(3)
(To Prospectus Supplement and Prospectus dated February 25, 2005)
Pricing Supplement Number: 2470
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
Merrill Lynch Extendible Monthly Securities
The floating rate notes described in this pricing supplement, which
we refer to as Merrill Lynch Extendible Monthly Securities (the "Notes"), will
be issued as part of the series of Merrill Lynch & Co., Inc.'s (the "Company")
Medium-Term Notes, Series C, Due Nine Months or More from Date of Issue. The
Notes will mature on the Initial Stated Maturity Date, unless the maturity of
all or any portion of the principal amount of the Notes is extended in
accordance with the procedures described below. In no event will the maturity
of the Notes be extended beyond the Final Stated Maturity Date.
During the notice period relating to each election date, you may
elect to extend the maturity of all or any portion of the principal amount of
your Notes so that the maturity of your Notes will be extended to the date
occurring 366 calendar days from and including the 15th day of the next
succeeding month following such election date. However, if that 366th calendar
day is not a Business Day, the maturity of your Notes will be extended to the
immediately preceding Business Day. The election dates will be the 15th
calendar day of each month from September 2005 to August 2009 inclusive,
whether or not any such day is a Business Day.
You may elect to extend the maturity of all of your Notes or of any
portion thereof having a principal amount of $1,000 or any multiple of $1,000
in excess thereof. To make your election effective on any election date, you
must deliver a notice of election during the notice period for that election
date. The notice period for each election date will begin on the fifth
scheduled Business Day prior to the election date and end on the election
date; however, if that election date is not a Business Day, the notice period
will be extended to the following Business Day. Your notice of election must
be delivered to the Trustee for the Notes, through the normal clearing system
channels described in more detail below, no later than the close of business,
New York City time, on the last Business Day in the notice period relating to
the applicable election date. Upon delivery to the Trustee of a notice of
election to extend the maturity of the Notes or any portion thereof during any
notice period, that election will be revocable during each day of such notice
period until 12:00 noon, New York City time, on the last Business Day in the
notice period relating to the applicable election date, at which time such
notice will become irrevocable.
If, with respect to any election date, you do not make an election to
extend the maturity of all or any portion of the principal amount of your
Notes, the principal amount of the Notes for which you have failed to make
such an election will become due and payable on the Initial Stated Maturity
Date, or any later date to which the maturity of your Notes has previously
been extended. The principal amount of the Notes for which such election is
not exercised will be represented by a note issued on the last Business Day of
the applicable notice period. The note so issued will have the same terms as
the Notes, except that it will not be extendible, will have a separate CUSIP
number and its maturity date will be the date that is 366 calendar days from
and including such election date or, if such 366th calendar day is not a
Business Day, the immediately preceding Business Day. The failure to elect to
extend the maturity of all or any portion of the Notes will be irrevocable and
will be binding upon any subsequent holder of such Notes.
The Notes will bear interest from the Original Issue Date until the
principal amount thereof is paid or made available for payment at a rate
determined for each Interest Reset Period by reference to the Interest Rate
Basis, based on the Index Maturity, plus the Spread applicable for the
relevant Interest Reset Date. We describe how floating rates are determined
and calculated in the section called "Interest-Floating Rate Notes" in the
accompanying prospectus supplement, subject to and as modified by the
provisions described below.
The Notes will be issued in registered global form and will remain on
deposit with the Depositary for the Notes. Therefore, you must exercise the
option to extend the maturity of your Notes through the Depositary. To ensure
that the Depositary will receive timely notice of your election to extend the
maturity of all or a portion of your Notes, so that it can deliver notice of
your election to the Trustee prior to the close of business, New York City
time, on the last Business Day in the notice period, you must instruct the
direct or indirect participant through which you hold an interest in the Notes
to notify the Depositary of your election to extend the maturity of your Notes
in accordance with the then applicable operating procedures of the Depositary.
The Depositary must receive any notice of election from its
participants no later than 12:00 noon (New York City time) on the last
Business Day in the notice period for any election date. Different firms have
different deadlines for accepting instructions from their customers. You
should consult the direct or indirect participant through which you hold an
interest in the Notes to ascertain the deadline for ensuring that timely
notice will be delivered to the Depositary. If the election date is not a
Business Day, notice of your election to extend the maturity date of your
Notes must be delivered to the Depositary by its participants no later than
12:00 noon (New York City time) on the first Business Day following the
election date.
The Notes will initially be limited to $3,250,000,000 in aggregate
principal amount. We may create and issue additional floating rate notes with
the same terms as the Notes so that such additional floating rate notes will
be combined with this initial issuance of Notes.
CAPITALIZED TERMS USED IN THIS PRICING SUPPLEMENT WHICH ARE DEFINED IN THE
PROSPECTUS SUPPLEMENT SHALL HAVE THE MEANINGS ASSIGNED TO THEM IN THE
PROSPECTUS SUPPLEMENT.
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Original Issue Date: August 23, 2005
Initial Stated Maturity Date: September 15, 2006, or if such day is not a Business Day, the immediately
preceding Business Day.
Final Stated Maturity Date: September 15, 2010, or if such day is not a Business Day, the immediately
preceding Business Day.
Aggregate Principal Amount: $3,250,000,000
Interest Calculation: |X| Regular Floating Rate
|_| Inverse Floating Rate
|_| Floating Rate/Fixed Interest Rate
|_| Fixed Interest Rate
Day Count Convention: |X| Actual/360
|_| 30/360
|_| Actual/Actual
Interest Rate Basis: |X| LIBOR |_| Commercial Paper Rate
|_| CMT Rate |_| Eleventh District Cost of Funds Rate
|_| Prime Rate |_| CD Rate
|_| Federal Funds Rate |_| Other (See Attached)
|_| Treasury Rate
Designated CMT Page: Designated LIBOR Page:
CMT Moneyline Telerate Page: LIBOR Moneyline Telerate Page: 3750
LIBOR Reuters Page:
Spread: The table below indicates the applicable Spread for the Interest Reset Dates
occurring during each of the indicated periods.
For Interest Reset Dates occurring: Spread:
----------------------------------- -------
From the Original Issue Date
to and including August 2006 Minus .02%
From and including September 2006 to
and including August 2007 Plus .01%
From and including September 2007 to
and including August 2008 Plus .03%
From and including September 2008 to
and including August 2009 Plus .05%
From and including September 2009 to
and including August 2010 Plus .05%
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Spread Multiplier: N/A
Index Maturity: One Month, except with respect to the Initial Interest Rate.
LIBOR Currency: U.S. Dollars
Minimum Interest Rate: N/A
Interest Payment Period: Monthly. See also "Interest Payment Dates."
Interest Payment Dates: The 15th day of each month, commencing September 15, 2005. The final
interest payment date for any Notes maturing prior to the Final Stated
Maturity Date will be the relevant maturity date, and interest for the final
interest payment period will accrue from and including the interest payment
date in the month immediately preceding such relevant maturity date to but
excluding the maturity date.
Initial Interest Rate: The Initial Interest Rate will be a rate based upon a straight line
interpolation of two-week LIBOR and one-month LIBOR, to be determined two
London business days prior to the original issue date, minus the applicable
spread of .02%.
Initial Interest Reset Date: September 15, 2005.
Interest Reset Dates: The 15th day of each month, commencing September 15, 2005.
Interest Reset Periods: The first interest reset period will be the period from and including
September 15, 2005 to but excluding the immediately succeeding Interest
Reset Date. Thereafter, the interest reset periods will be the periods from
and including an Interest Reset Date to but excluding the immediately
succeeding Interest Reset Date; provided that the final interest reset
period for any Notes maturing prior to the Final Stated Maturity Date will
be the period from and including the Interest Reset Date in the month
immediately preceding the relevant maturity date of such Notes to the
relevant maturity date.
Interest Determination Dates: Two London Banking Days prior to the Interest Reset Dates.
Election Dates and Notice Periods: The election date shall be the 15th calendar day of each month from
September 2005 to August 2009 inclusive, whether or not such day is a
Business Day. The notice period for each election date will begin on the
fifth scheduled Business Day prior to but not including the election date
and end on the election date; however, if that election date is not a
Business Day, the notice period will be extended to the following Business
Day.
Form: The Notes are being issued in fully registered book-entry form.
Repayment at the Option
of the Holder: The Notes cannot be repaid prior to the relevant maturity date.
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Redemption at the Option of the
Company: The Notes cannot be redeemed prior to the relevant maturity date.
Original Issue Discount: N/A
Amortization Schedule: N/A
Calculation Agent: Merrill Lynch, Pierce, Fenner & Smith Incorporated
Trustee: JPMorgan Chase Bank, N.A.
CUSIP No.: 590188Y51. New CUSIP numbers will be assigned to Notes maturing prior to the
Final Stated Maturity Date.
Pricing Supplement Dated: August 16, 2005
Plan of Distribution: The Notes are being purchased by Merrill Lynch, Pierce, Fenner & Smith
Incorporated ("MLPF&S"), Fifth Third Securities, Inc. and Keybanc Capital
Markets, a division of McDonald Investments Inc. (collectively, the
"Underwriters"), as principal, pursuant to an agreement, dated August 16,
2005 (the "Agreement"), between the Company and the Underwriters, in the
respective amounts set forth below at 100% of their aggregate principal
amount less an underwriting discount equal to .25% of the principal amount
of the Notes. MLPF&S is acting as the Lead Underwriter.
Principal Amount
Underwriter of the Notes
----------- ------------
Merrill Lynch, Pierce, Fenner & Smith
Incorporated $3,230,000,000
Fifth Third Securities, Inc. $10,000,000
Keybanc Capital Markets, $10,000,000
a division of McDonald Investments Inc. --------------
Total $3,250,000,000
Pursuant to the Agreement, the obligations of the Underwriters are subject
to certain conditions and the Underwriters are committed to pay for all the
Notes, if any are taken.
The Underwriters have advised the Company that they propose initially to
offer all or part of the Notes directly to the public at principal amount
listed above. After the initial public offering, the principal amount may be
changed.
The Company has agreed to indemnify the Underwriters against and to
contribute toward certain liabilities, including liability under the
Securities Act of 1933, as amended.
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United States Federal Taxation:
The following discussion is based on the opinion of Sidley Austin
Brown & Wood LLP, tax counsel to the Company ("Tax Counsel").
An election to extend the maturity of all or any portion of the
principal amount of the Notes in accordance with the procedures described
above should not be a taxable event for U.S. federal income tax purposes. Tax
Counsel has reached this conclusion based, in part, upon the Treasury
regulations governing original issue discount on debt instruments (the "OID
Regulations").
Pursuant to Treasury regulations governing modifications to the terms
of debt instruments (the "Modification Regulations"), the exercise of an
option by a holder of a debt instrument to defer any scheduled payment of
principal is a taxable event if, based on all the facts and circumstances,
such deferral is considered material under the Modification Regulations. The
Modification Regulations do not specifically address the unique features of
the Notes (including their economic equivalence to a five-year debt instrument
containing put options). However, under the OID Regulations, for purposes of
determining the yield and maturity of a debt instrument that provides the
holder with an unconditional option or options, exercisable on one or more
dates during the term of the debt instrument, that, if exercised, require
payments to be made on the debt instrument under an alternative payment
schedule or schedules (e.g., an option to extend the maturity of the debt
instrument), a holder is deemed to exercise or not exercise an option or
combination of options in a manner that maximizes the yield on the debt
instrument. Since the Spread will periodically increase during the term of the
Notes from an initial amount equal to Minus .02% to an amount equal to Plus
..05%, under these rules, as of the Original Issue Date, original holders of
the Notes should be deemed to elect to extend the maturity of all of the
principal amount of the Notes to the Final Stated Maturity Date in accordance
with the procedures described above. Accordingly, under these rules, the Final
Stated Maturity Date should be treated as the maturity date of the Notes.
Although it is unclear how the OID Regulations should apply in conjunction
with the Modification Regulations to the Notes, Tax Counsel is of the opinion
that, based upon the OID Regulations, an election to extend the maturity of
all or any portion of the principal amount of the Notes in accordance with the
procedures described above should not be a taxable event for U.S. federal
income tax purposes. In addition, the Notes should not constitute contingent
payment debt instruments that would be subject to certain Treasury regulations
governing contingent payment obligations (the "Contingent Payment
Regulations").
Under the treatment described above, the Notes will be treated as
having been issued with de minimis original issue discount. Therefore, the
Notes will not constitute Discount Notes.
Prospective investors should note that, in particular because of the
absence of authority directly addressing the unique features of the Notes, no
assurance can be given that the Internal Revenue Service (the "IRS") will
accept, or that the courts will uphold, the characterization and the tax
treatment of the Notes described above. If the IRS were successful in
asserting that an election to extend the maturity of all or any portion of the
principal amount of the Notes is a taxable event for U.S. federal income tax
purposes, then you would be required to recognize any gain inherent in the
Notes at such time upon the exercise of such election. However, because the
Notes bear a variable interest rate that is reset monthly, the Company expects
that the amount of any gain recognized with respect to the Notes should not be
significant (but the amount of any such gain will depend upon all of the facts
and circumstances present at the time of the recognition event). Also, if the
IRS were successful in asserting that the Notes were subject to the Contingent
Payment Regulations, the timing and character of income thereon would be
affected. Among other things, you may be required to accrue original issue
discount income, subject to adjustments, at a "comparable yield" on the issue
price. Furthermore, any gain recognized with respect to the Notes would
generally be treated as ordinary income. However, because the Notes bear a
variable interest rate that is reset monthly, the Company expects that (i) the
accrual of income at the comparable yield should not significantly alter the
timing of income inclusion and (ii) the amount of any gain recognized with
respect to the Notes should not be significant (but the amount of any such
gain will depend upon all of the facts and circumstances present at the time
of the recognition event). The
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foregoing is a summary of certain of the material U.S. federal income tax
considerations applicable to an investment in the Notes and is not to be
construed as tax advice for investors. Prospective investors should consult
their tax advisor regarding the U.S. federal income tax consequences of an
investment in, and extending the maturity of, the Notes.
Prospective investors should also consult the summary describing the
principal U.S. federal income tax consequences of the ownership and
disposition of the Notes contained in the section called "United States
Federal Income Taxation" in the accompanying Prospectus Supplement.
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