Subject to Completion Preliminary Pricing Supplement dated March 8, 2006 PRICING SUPPLEMENT - ------------------ (To prospectus supplement and prospectus dated February 25, 2005) Pricing Supplement Number: [COMPANY LOGO] 1,000,000 Units Merrill Lynch & Co., Inc. Medium-Term Notes, Series C 100% Protected Multi Currency Basket Notes due April , 2008 (the "Notes") $10 principal amount per unit ------------------------------------------ The Notes: O The Notes are designed for investors who believe that the value of the Chinese renminbi (yuan), the Indian rupee and the Russian ruble will appreciate relative to the United States dollar over the term of the Notes. o 100% principal protection on the maturity date. o There will be no payments prior to the maturity date and we cannot redeem the Notes prior to the maturity date. o The Notes will not be listed on any securities exchange. o The Notes will be senior unsecured debt securities of Merrill Lynch & Co., Inc., denominated and payable in United States dollars, and part of a series entitled "Medium-Term Notes, Series C". The Notes will have the CUSIP No. . o The settlement date for the Notes is expected to be April , 2006. Payment on the maturity date: o The amount you receive on the maturity date per unit will be based upon the direction of and percentage change in the value of the Multi Currency Basket over the term of the Notes. If the value of the Multi Currency Basket: o has increased, you will receive the $10 principal amount per unit plus a supplemental redemption amount of $10 multiplied by a percentage between 160% to 180% of the percentage increase; or o has decreased or has not increased, you will receive the $10 principal amount per unit. Information included in this pricing supplement supersedes information in the accompanying prospectus supplement and prospectus to the extent that it is different from that information. Investing in the Notes involves risks that are described in the "Risk Factors" section beginning on page PS-7 of this pricing supplement and in the accompanying prospectus supplement. ----------------------------- Per Unit Total -------- ----- Public offering price (1)................................. $10.00 $ Underwriting discount..................................... $.20 $ Proceeds, before expenses, to Merrill Lynch & Co., Inc.... $9.80 $ (1) The public offering price and the underwriting discount for any single transaction to purchase 100,000 to 299,999 units will be $9.95 per unit and $.15 per unit, respectively, for any single transaction to purchase between 300,000 to 499,999 units will be $9.90 per unit and $.10 per unit, respectively, and for any single transaction to purchase 500,000 units or more will be $9.85 per unit and $.05 per unit, respectively. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this pricing supplement or the accompanying prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense. ----------------------------- Merrill Lynch & Co. ----------------------------- The date of this pricing supplement is March , 2006. TABLE OF CONTENTS Pricing Supplement Page -------- SUMMARY INFORMATION--Q&A ............................................ PS-3 RISK FACTORS ........................................................ PS-7 DESCRIPTION OF THE NOTES ............................................ PS-11 THE BASKET .......................................................... PS-13 UNITED STATES FEDERAL INCOME TAXATION ............................... PS-16 ERISA CONSIDERATIONS ................................................ PS-20 USE OF PROCEEDS AND HEDGING ......................................... PS-21 SUPPLEMENTAL PLAN OF DISTRIBUTION ................................... PS-21 EXPERTS ............................................................. PS-21 INDEX OF CERTAIN DEFINED TERMS ...................................... PS-22 Prospectus Supplement Page -------- RISK FACTORS ........................................................ S-3 DESCRIPTION OF THE NOTES ............................................ S-4 UNITED STATES FEDERAL INCOME TAXATION ............................... S-21 PLAN OF DISTRIBUTION ................................................ S-28 VALIDITY OF THE NOTES ............................................... S-29 Prospectus Page -------- MERRILL LYNCH & CO., INC. ........................................... 2 USE OF PROCEEDS ..................................................... 2 RATIO OF EARNINGS TO FIXED CHARGES AND RATIO OF EARNINGS TO COMBINED FIXED CHARGES AND PREFERRED STOCK DIVIDENDS............ 3 THE SECURITIES ...................................................... 3 DESCRIPTION OF DEBT SECURITIES ...................................... 4 DESCRIPTION OF DEBT WARRANTS ........................................ 15 DESCRIPTION OF CURRENCY WARRANTS .................................... 17 DESCRIPTION OF INDEX WARRANTS ....................................... 18 DESCRIPTION OF PREFERRED STOCK ...................................... 24 DESCRIPTION OF DEPOSITARY SHARES .................................... 29 DESCRIPTION OF PREFERRED STOCK WARRANTS ............................. 33 DESCRIPTION OF COMMON STOCK ......................................... 35 DESCRIPTION OF COMMON STOCK WARRANTS ................................ 38 PLAN OF DISTRIBUTION ................................................ 41 WHERE YOU CAN FIND MORE INFORMATION ................................. 42 INCORPORATION OF INFORMATION WE FILE WITH THE SEC ................... 42 EXPERTS ............................................................. 43 PS-2 SUMMARY INFORMATION--Q&A This summary includes questions and answers that highlight selected information from this pricing supplement and the accompanying prospectus supplement and prospectus to help you understand the 100% Protected Multi Currency Basket Notes due April , 2008 (the "Notes"). You should carefully read this pricing supplement and the accompanying prospectus supplement and prospectus to fully understand the terms of the Notes, the Multi Currency Basket (the "Basket") and the tax and other considerations that are important to you in making a decision about whether to invest in the Notes. You should carefully review the "Risk Factors" section in this pricing supplement and the accompanying prospectus supplement, which highlights certain risks associated with an investment in the Notes, to determine whether an investment in the Notes is appropriate for you. References in this pricing supplement 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. What are the Notes? The Notes will be part of a series of senior debt securities issued by ML&Co. entitled "Medium-Term Notes, Series C" and will not be secured by collateral. The Notes will rank equally with all of our other unsecured and unsubordinated debt. The Notes will mature on April , 2008. We cannot redeem the Notes at an earlier date. We will not make any payments on the Notes until the maturity date. Each unit will represent a single Note with a $10 principal amount. You may transfer the Notes only in whole units. You will not have the right to receive physical certificates evidencing your ownership except under limited circumstances. Instead, we will issue the Notes in the form of a global certificate, which will be held by The Depository Trust Company, also known as DTC, or its nominee. Direct and indirect participants in DTC will record your ownership of the Notes. You should refer to the section entitled "Description of the Debt Securities--Depositary" in the accompanying prospectus. Are there any risks associated with my investment? Yes, an investment in the Notes is subject to risks. Please refer to the section entitled "Risk Factors" in this pricing supplement and the accompanying prospectus supplement. Who determines the value of the Basket and what does the Basket reflect? Merrill Lynch Capital Services, Inc., as calculation agent (the "Calculation Agent"), will determine the value of the Basket as described in the section entitled "The Basket" in this pricing supplement. The Basket is designed to allow investors to participate in exchange rate movements of the currencies included in the Basket, as reflected by changes in the United States dollar value of the Basket, over the term of the Notes. The currencies that compose the Basket are the United States dollar, the Chinese renminbi (yuan), the Indian rupee and the Russian ruble. Each of these currencies is referred to in this pricing supplement as a "Basket Component". Each Basket Component will be assigned a weighting. The weightings will be disclosed in the section entitled "The Basket" in this pricing supplement. Those currencies with positive weightings in the Basket can be viewed as a long position in the Chinese renminbi (yuan), the Indian rupee and the Russian ruble (collectively the "Long Basket Components"). The currency with a negative weighting in the Basket can be viewed as a short position in the United States dollar (the "Short Basket Component"). The value of the Basket will be set to 100 on the date the Notes are priced for initial sale to the public (the "Pricing Date"), which may occur in March or April of 2006. In addition, a fixed factor (the "Multiplier") will be determined on the Pricing Date for each Basket Component by dividing the weighting of each Basket Component by the United States dollar value of that Basket Component on the Pricing Date. The Multiplier can be used to calculate the value of the Basket on any given day by multiplying the Multiplier for each Basket Component by the then current exchange rate for that Basket Component, summing the resulting products and adding 100 to the total. For a list of hypothetical Multipliers for each Basket Component and examples of Basket value computations, please see the section entitled "The Basket" in this pricing supplement. How has the Basket performed historically? The Basket will not exist until the Pricing Date. We have, however, included a table and a graph showing hypothetical historical month-end values of the Basket from January 2001 through February 2006 based upon historical exchange rates, the hypothetical Multiplier of each Basket Component calculated as of March 3, 2006 and a Basket value of 100 on that date. The table and PS-3 graph are included in the section entitled "The Basket" in this pricing supplement. We have provided this hypothetical historical information to help you evaluate the behavior of the Basket in various economic environments; however, the hypothetical past performance of the Basket is not necessarily indicative of how the Basket will perform in the future. What will I receive on the maturity date of the Notes? On the maturity date, you will receive a cash payment per unit equal to the Redemption Amount. The "Redemption Amount" to which you will be entitled will depend on the direction of and the percentage change in the value of the Basket over the term of the Notes, will be denominated and payable in United States dollars and will equal: (i) If the Ending Value is greater than the Starting Value, the $10 principal amount per unit multiplied by a percentage equal to: 100 + (Participation Rate x (Ending Value - Starting Value)) (ii) If the Ending Value is equal to or less than the Starting Value, $10. The "Starting Value" will be set to 100 on the Pricing Date. The "Ending Value" will equal the value of the Basket as determined by the Calculation Agent on the Valuation Date, as described in this pricing supplement. The "Valuation Date" will be the seventh scheduled business day before the maturity date of the Notes. The "Participation Rate" is a percentage between 160% to 180%. The actual Participation Rate will be determined on the Pricing Date and set forth in the final pricing supplement made available in connection with sales of the Notes. For more specific information about the Redemption Amount, please see the section entitled "Description of the Notes" in this pricing supplement. PS-4 - ------------------------------------------------------------------------------ Examples Set forth below are two examples of Redemption Amount calculations assuming a Participation Rate of 170%, the midpoint of the range of 160% to 180%: Example 1--The hypothetical Ending Value is equal to 50% of the Starting Value: Starting Value: 100 Hypothetical Ending Value: 50 (Redemption Amount cannot be less than $10.00) Example 2--The hypothetical Ending Value is equal to 115% of the Starting Value: Starting Value: 100 Hypothetical Ending Value: 115 Redemption Amount (per unit) = $10 x (100 + (170% x (115-100)))% = US$12.550 - ------------------------------------------------------------------------------ Will I receive interest payments on the Notes? You will not receive any interest payments on the Notes, but will instead receive the Redemption Amount on the maturity date. We have designed the Notes for investors who are willing to forego interest payments on the Notes, such as fixed or floating interest rates paid on traditional interest bearing debt securities, in exchange for the ability to participate in possible increases in the United States dollar value of the Basket over the term of the Notes. What about taxes? Each year, you will be required to pay taxes on ordinary income from the Notes over their term based upon an estimated yield for the Notes, even though you will not receive any payments from us until the maturity date. We have determined this estimated yield, in accordance with regulations issued by the U.S. Treasury Department, solely in order for you to calculate the amount of taxes that you will owe each year as a result of owning a Note. This estimated yield is neither a prediction nor a guarantee of what the actual cash payment on the maturity date will be, or that the actual cash payment on the maturity date will exceed the principal amount per unit of the Notes. We have determined that this estimated yield will equal % per annum, compounded semi-annually. Based upon this estimated yield, if you pay your taxes on a calendar year basis and if you purchase a unit of the Notes for $10 and hold the Note until the maturity date, you will be required to pay taxes on the following amounts of ordinary income from the Note each year: $ in 2006, $ in 2007 and $ in 2008. However, in 2008 the amount of ordinary income that you will be required to pay taxes on from owning each unit of the Notes may be greater or less than $ depending upon the cash payment you receive on the maturity date. Also, if the cash payment on the maturity date is less than $ , you may have a loss which you could deduct against other income you may have in 2008, but under current tax regulations, you would neither be required nor allowed to amend your tax returns for prior years. For further information, see "United States Federal Income Taxation" in this pricing supplement. Will the Notes be listed on a securities exchange? The Notes will not be listed on any securities exchange and we do not expect a trading market for the Notes to develop, which may affect the price that you receive for your Notes upon any sale prior to the maturity date. You should review the section entitled "Risk Factors--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" in this pricing supplement. What price can I expect to receive if I sell the Notes prior to the stated maturity date? In determining the economic terms of the Notes, and consequently the potential return on the Notes PS-5 to you, a number of factors are taken into account. Among these factors are certain costs associated with creating, hedging and offering the Notes. In structuring the economic terms of the Notes, we seek to provide investors with what we believe to be commercially reasonable terms and to provide MLPF&S with compensation for its services in developing the Notes. If you sell your Notes prior to the stated maturity date, you will receive a price determined by market conditions for the Notes. This price may be influenced by many factors, such as interest rates, volatility and the current value of the Basket. In addition, the price, if any, at which you could sell your Notes in a secondary market transaction is expected to be affected by the factors that we considered in setting the economic terms of the Notes, namely the underwriting discount paid in respect of the Notes and other costs associated with the Notes, and compensation for developing and hedging the product. Depending on the impact of these factors, you may receive significantly less than the $10 principal amount per unit of your Notes if sold before the stated maturity date. In a situation where there had been no movement in the value of the Basket and no changes in the market conditions from those existing on the date of this pricing supplement, the price, if any, at which you could sell your Notes in a secondary market transaction is expected to be lower than the $10 principal amount per unit. This is due to, among other things, our costs of developing, hedging and distributing the Notes. Any potential purchasers for your Notes in the secondary market are unlikely to consider these factors. What is the role of MLPF&S? Our subsidiary MLPF&S is the underwriter for the offering and sale of the Notes. After the initial offering, MLPF&S intends to buy and sell Notes to create a secondary market for holders of the Notes, and may stabilize or maintain the market price of the Notes during their initial distribution. However, MLPF&S will not be obligated to engage in any of these market activities or continue them once it has started. What is the role of the Merrill Lynch Capital Services, Inc.? Merrill Lynch Capital Services, Inc. will serve as Calculation Agent for purposes of determining, among other things, the Ending Value and the Redemption Amount. Under certain circumstances, these duties could result in a conflict of interest between Merrill Lynch Capital Services, Inc. as our subsidiary and its responsibilities as Calculation Agent. Merrill Lynch Capital Services, Inc. is required to carry out its duties as Calculation Agent in good faith and using its reasonable judgment. What is ML&Co.? Merrill Lynch & Co., Inc. is a holding company with various subsidiaries and affiliated companies that provide investment, financing, insurance and related services on a global basis. For information about ML&Co., see the section entitled "Merrill Lynch & Co., Inc." in the accompanying prospectus. You should also read other documents ML&Co. has filed with the Securities and Exchange Commission, which you can find by referring to the section entitled "Where You Can Find More Information" in the accompanying prospectus. PS-6 RISK FACTORS Your investment in the Notes will involve risks. You should carefully consider the following discussion of risks and the discussion of risks included in the accompanying prospectus supplement before deciding whether an investment in the Notes is suitable for you. You may not earn a return on your investment On the Valuation Date, if the Ending Value is less than or equal to the Starting Value, on the maturity date we will pay you only the $10 principal amount per unit. This will be true even if the value of the Basket was higher than the Starting Value at some time over the term of the Notes but later falls below the Starting Value prior to the Valuation Date. Your yield may be lower than the yield on other debt securities of comparable maturity The yield that you will receive on your Notes may be less than the return you could earn on other investments. Your yield may be less than the yield you would earn if you bought a traditional interest bearing United States dollar-denominated debt security of ML&Co. with the same stated maturity date. Your investment may not reflect the full opportunity cost to you when you take into account factors that affect the time value of money. You must rely on your own evaluation of the merits of an investment linked to the Basket In the ordinary course of their businesses, affiliates of ML&Co. from time to time express views on expected movements in foreign currency exchange rates. These views are sometimes communicated to clients who participate in foreign exchange markets. However, these views, depending upon world-wide economic, political and other developments, may vary over differing time-horizons and are subject to change. Moreover, other professionals who deal in foreign currencies may at any time have significantly different views from those of our affiliates. For reasons such as these, we believe that most investors in foreign exchange markets derive information concerning those markets from multiple sources. In connection with your purchase of the Notes, you should investigate the foreign exchange markets and not rely on views which may be expressed by our affiliates in the ordinary course of their businesses with respect to future exchange rate movements. You should make such investigation as you deem appropriate as to the merits of an investment linked to the Basket. Neither the offering of the Notes nor any views which may from time to time be expressed by our affiliates in the ordinary course of their businesses with respect to future exchange rate movements constitutes a recommendation as to the merits of an investment in the Notes. The value of the Basket Components are affected by many complex factors The value of any currency, including the Basket Components, may be affected by complex political and economic factors. The exchange rate of each Basket Component is at any moment a result of the supply and demand for that currency relative to other currencies, and changes in the exchange rate result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in the originating country of each Basket Component, including economic and political developments in other countries. Of particular importance are the relative rates of inflation, interest rate levels, balance of payments and extent of governmental surpluses or deficits in those countries, all of which are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of those countries, and other countries important to international trade and finance. Foreign exchange rates can either be fixed by sovereign governments or floating. Exchange rates of most economically developed nations, including those issuing the Indian rupee and the Russian ruble, are permitted to fluctuate in value relative to the United States dollar. However, governments sometimes do not allow their currencies to float freely in response to economic forces, as is the case with the Chinese renminbi (yuan). Governments, including those issuing the Basket Components, may use a variety of techniques, such as intervention by their central bank or imposition of regulatory controls or taxes, to affect the exchange rates of their respective currencies. They may also issue a new currency to replace an existing currency or alter the exchange rate or relative exchange characteristics by devaluation or revaluation of a currency. Thus, a special risk in purchasing the Notes is that their liquidity, trading value and amounts payable could be affected by the actions of sovereign governments which could change or interfere with theretofore freely determined currency valuation, fluctuations in response to other market forces and the movement of currencies across borders. There will be no adjustment or change in the terms of the Notes in the event that exchange rates should become fixed, or in the event of any devaluation PS-7 or revaluation or imposition of exchange or other regulatory controls or taxes, or in the event of the issuance of a replacement currency or in the event of other developments affecting any of the Basket Components specifically, or any other currency. The exchange rate of the Chinese renminbi is currently managed by the Chinese government On July 21, 2005, the People's Bank of China, with the authorization of the State Council of the People's Republic of China, announced that the Chinese renminbi (yuan) exchange rate would no longer be pegged to the United States dollar and would float based on market supply and demand with reference to a basket of currencies. According to public reports, the governor of the People's Bank of China has stated that the basket is composed mainly of the United States dollar, the European Union euro, the Japanese yen and the South Korean won. Also considered, but playing smaller roles, are the currencies of Singapore, the United Kingdom, Malaysia, Russia, Australia, Canada and Thailand. The weight of each currency within the basket has not been announced. The initial adjustment of the Chinese renminbi (yuan) exchange rate was an approximate 2% revaluation from an exchange rate of 8.28 renminbi (yuan) per United States dollar to 8.11 renminbi (yuan) per United States dollar and as of March 3, 2006, the hypothetical Pricing Date, was 8.0367 renminbi (yuan) per United States dollar. The People's Bank of China has also announced that the daily trading price of the United States dollar against the renminbi (yuan) in the inter-bank foreign exchange market will continue to be allowed to float within a band of 0.3 percent around the central parity published by the People's Bank of China, while the trading prices of the non-United States dollar currencies against the renminbi (yuan) will be allowed to move within a certain band announced by the People's Bank of China. The People's Bank of China will announce the closing price of a foreign currency such as the United States dollar traded against the renminbi (yuan) in the inter-bank foreign exchange market after the closing of the market on each working day, and will make it the central parity for the trading against the renminbi (yuan) on the following working day. The People's Bank of China has stated that it will make adjustments of the renminbi (yuan) exchange rate band when necessary according to market developments as well as the economic and financial situation. Despite the recent change in their exchange rate regime, the Chinese government continues to manage the valuation of the renminbi (yuan), and, as currently managed, its price movements are unlikely to contribute significantly to either an increase or decrease in the value of the Basket. However, further changes in the Chinese government's management of the renminbi (yuan) could result in a significant movement in the United States dollar/renminbi (yuan) exchange rate. Assuming the value of all other Basket Components remain constant, a decrease in the value of the renminbi (yuan), whether as a result of a change in the government's management of the currency or for other reasons, would result in a decrease in the value of the Basket. Even though currency trades around-the-clock, your Notes will not The interbank market in foreign currencies is a global, around-the-clock market. Therefore, the hours of trading for the Notes will not conform to the hours during which the Basket Components are traded. Significant price and rate movements may take place in the underlying foreign exchange markets that will not be reflected immediately in the price of the Notes. The possibility of these movements should be taken into account in relating the value of the Notes to those in the underlying foreign exchange markets. There is no systematic reporting of last-sale information for foreign currencies. Reasonably current bid and offer information is available in certain brokers' offices, in bank foreign currency trading offices and to others who wish to subscribe for this information, but this information will not necessarily be reflected in the value of the Basket used to calculate the Redemption Amount. There is no regulatory requirement that those quotations be firm or revised on a timely basis. The absence of last-sale information and the limited availability of quotations to individual investors may make it difficult for many investors to obtain timely, accurate data about the state of the underlying foreign exchange markets. 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 The Notes will not be listed on any securities exchange and we do not expect a trading market for the Notes to develop. Although our affiliate MLPF&S has indicated that it expects to bid for Notes offered for sale to it by holders of the Notes, it is not required to do so and may cease making those bids at any time. In addition, while we describe in this pricing supplement how you can calculate the value of the Basket from publicly available information, we will not publish the value of the Basket over the term of the Notes and this may limit the trading market for the Notes. The limited trading market for PS-8 your Notes may affect the price that you receive for your Notes if you do not wish to hold your investment until the maturity date. If MLPF&S makes a market in the Notes, the price it quotes would reflect any changes in market conditions and other relevant factors. In addition, the price, if any, at which you could sell your Notes in a secondary market transaction is expected to be affected by the factors that we considered in setting the economic terms of the Notes, namely the underwriting discount paid in respect of the Notes and other costs associated with the Notes, including compensation for developing and hedging the product. This quoted price could be higher or lower than the $10 principal amount. Furthermore, there is no assurance that MLPF&S or any other party will be willing to buy the Notes. MLPF&S is not obligated to make a market in the Notes. Assuming there is no change in the value of the Basket and no change in market conditions or any other relevant factors, the price, if any, at which MLPF&S or another purchaser might be willing to purchase your Notes in a secondary market transaction is expected to be lower than the $10 principal amount. This is due to, among other things, the fact that the $10 principal amount included, and secondary market prices are likely to exclude, underwriting discount paid with respect to, and the developing and hedging costs associated with, the Notes. 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 The trading value of the Notes will be affected by factors that interrelate in complex ways. The effect of one factor may offset the increase in the trading value of the Notes caused by another factor and the effect of one factor may exacerbate the decrease in the trading value of the Notes caused by another factor. For example, a decrease in the volatility of the Basket may offset some or all of any increase in the trading value of the Notes attributable to another factor, such as an increase in value of the Long Basket Components relative to the Short Basket Component. The following paragraphs describe the expected impact on the trading value of the Notes given a change in a specific factor, assuming all other conditions remain constant. The value of the Basket is expected to affect the trading value of the Notes. We expect that the trading value of the Notes will depend substantially on the amount, if any, by which the value of the Basket exceeds or does not exceed the Starting Value. However, if you choose to sell your Notes when the value of the Basket exceeds the Starting Value, you may receive substantially less than the amount that would be payable on the maturity date based on this value because of the expectation that the value of the Basket will continue to fluctuate until the Ending Value is determined. Changes in the levels of interest rates are expected to affect the trading value of the Notes. We expect that changes in interest rates will affect the trading value of the Notes. In general, if U.S. interest rates increase, we expect that the trading value of the Notes will decrease and, conversely, if U.S. interest rates decrease, we expect that the trading value of the Notes will increase. If interest rates increase or decrease in markets based on any Basket Component, the trading value of the Notes may be adversely affected. Interest rates may also affect the economies of the countries issuing the Basket Components and, in turn, the respective exchange rates, which may affect the value of the Basket and therefore, the trading value of the Notes. Changes in the volatility of the Basket are expected to affect the trading value of the Notes. Volatility is the term used to describe the size and frequency of price and/or market fluctuations. If the volatility of the Basket increases or decreases, the trading value of the Notes may be adversely affected. As the time remaining to the stated maturity date of the Notes decreases, the "time premium" associated with the Notes is expected to decrease. We anticipate that before their stated maturity date, the Notes may trade at a value above that which would be expected based on the value of the Basket. This difference will reflect a "time premium" due to expectations concerning the value of the Short Basket Component relative to the Long Basket Components prior to the stated maturity date of the Notes. However, as the time remaining to the stated maturity date of the Notes decreases, we expect that this time premium will decrease, lowering the trading value of the Notes. Changes in our credit ratings may affect the trading value of the Notes. Our credit ratings are an assessment of our ability to pay our obligations. Consequently, real or anticipated changes in our credit ratings may affect the trading value of the Notes. However, because the return on your Notes is dependent upon factors in addition to our ability to pay our obligations under the Notes, such as the percentage increase, if any, in the value of the Basket over the term of the Notes, an improvement in our credit ratings will not reduce the other investment risks related to the Notes. PS-9 In general, assuming all relevant factors are held constant, we expect that the effect on the trading value of the Notes of a given change in some of the factors listed above will be less if it occurs later in the term of the Notes than if it occurs earlier in the term of the Notes. We expect, however, that the effect on the trading value of the Notes of a given change in the value of the Basket will be greater if it occurs later in the term of the Notes than if it occurs earlier in the term of the Notes. Amounts payable on the Notes may be limited by state law New York State law governs the 1983 Indenture under which the Notes will be issued. New York has usury laws that limit the amount of interest that can be charged and paid on loans, which includes debt securities like the Notes. Under present New York law, the maximum rate of interest is 25% per annum on a simple interest basis. This limit may not apply to debt securities in which $2,500,000 or more has been invested. While we believe that New York law would be given effect by a state or federal court sitting outside of New York, many other states also have laws that regulate the amount of interest that may be charged to and paid by a borrower. We will promise, for the benefit of the holders of the Notes, to the extent permitted by law, not to voluntarily claim the benefits of any laws concerning usurious rates of interest. Potential conflicts of interest could arise Our subsidiary Merrill Lynch Capital Services, Inc. is our agent for the purposes of determining, among other things, the Ending Value and Redemption Amount. Under certain circumstances, Merrill Lynch Capital Services, Inc. as our subsidiary and its responsibilities as Calculation Agent for the Notes could give rise to conflicts of interest. These conflicts could occur, for instance, in connection with its determination as to whether the value of the Basket can be obtained on a particular trading day, or in connection with judgments that it would be required to make in the event the value of the Basket is unavailable. See the section entitled "The Basket" in this pricing supplement. Merrill Lynch Capital Services, Inc. is required to carry out its duties as Calculation Agent in good faith and using its reasonable judgment. However, because we control Merrill Lynch Capital Services, Inc., potential conflicts of interest could arise. We expect to enter into arrangements to hedge the market risks associated with our obligation to pay the Redemption Amount due on the maturity date on the Notes. We may seek competitive terms in entering into the hedging arrangements for the Notes, but are not required to do so, and we may enter into such hedging arrangements with one of our subsidiaries or affiliated companies. Such hedging activity is expected to result in a profit to those engaging in the hedging activity, which could be more or less than initially expected, but which could also result in a loss for the hedging counterparty. Uncertain tax consequences You should consider the tax consequences of investing in the Notes. See the section entitled "United States Federal Income Taxation" in this pricing supplement. PS-10 DESCRIPTION OF THE NOTES ML&Co. will issue the Notes as part of a series of senior debt securities entitled "Medium-Term Notes, Series C" under the 1983 Indenture, which is more fully described in the accompanying prospectus. The Notes will mature on April , 2008. Information included in this pricing supplement supersedes information in the accompanying prospectus supplement and prospectus to the extent that it is different from that information. The CUSIP number for the Notes is . While on the maturity date a holder of a Note will receive an amount equal to the Redemption Amount, there will be no other payment of interest, periodic or otherwise. See the section entitled "--Payment on the Maturity Date". The Notes will not be subject to redemption by ML&Co. or repayment at the option of any holder of the Notes before the maturity date. ML&Co. will issue the Notes in denominations of whole units each with a $10 principal amount per unit. You may transfer the Notes only in whole units. You will not have the right to receive physical certificates evidencing your ownership except under limited circumstances. Instead, we will issue the Notes in the form of a global certificate, which will be held by The Depository Trust Company, also known as DTC, or its nominee. Direct and indirect participants in DTC will record your ownership of the Notes. You should refer to the section entitled "Description of Debt Securities--Depositary" in the accompanying prospectus. The Notes will not have the benefit of any sinking fund. Payment on the Maturity Date On the maturity date, you will be entitled to receive a cash payment per unit equal to the Redemption Amount, as provided below. Determination of the Redemption Amount The "Redemption Amount" per unit will be denominated and payable in United States dollars, will be determined by the Calculation Agent and will equal: (i) If the Ending Value is greater than the Starting Value, the $10 principal amount per unit multiplied by a percentage equal to: 100 + (Participation Rate x (Ending Value - Starting Value)); or (ii) If the Ending Value is equal to or less than the Starting Value, $10. The "Starting Value" will be set to 100 on the date the Notes are priced for initial sale to the public (the "Pricing Date"). The "Ending Value" will equal the value of the Basket as determined by the Calculation Agent on the Valuation Date, using the Exchange Rates on that date, as described in the section entitled "The Basket" in this pricing supplement. The "Valuation Date" will be the seventh scheduled Business Day before the maturity date of the Notes. The "Participation Rate" will be a fixed percentage between 160% and 180%. The actual Participation Rate will be determined on the Pricing Date and will be set forth in the final pricing supplement made available in connection with sales of the Notes. A "Business Day" means any day other than a Saturday or Sunday that is neither a legal holiday nor a day on which banking institutions in The City of New York are authorized or required by law, regulation or executive order to close and those banks are open for dealing in a foreign exchange and foreign currency deposits. All determinations made by the Calculation Agent, absent a determination of a manifest error, will be conclusive for all purposes and binding on ML&Co. and the holders and beneficial owners of the Notes. PS-11 Hypothetical Returns The following table illustrates, for the Starting Value of 100 and a range of hypothetical Ending Values of the Basket: o the percentage change from the Starting Value to the hypothetical Ending Value; o the total amount payable on the maturity date per unit; o the total rate of return to holders of the Notes; o the pretax annualized rate of return to holders of the Notes; and o the pretax annualized rate of return in United States dollars on an investment in the Basket Components. The table below assumes a Participation Rate of 170%, the midpoint of the range of 160% to 180%. The actual Participation Rate will be determined on the Pricing Date and set forth in the final pricing supplement made available in connection with the sales of the Notes.