Subject to Completion
Preliminary Pricing Supplement dated March 9, 2006
PRICING SUPPLEMENT
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(To prospectus supplement and prospectus dated February 25, 2005)
Pricing Supplement Number:
[GRAPHIC OMITTED]
Units
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
100% Protected Target Return Notes
Linked to the 10 Year Constant Maturity Treasury Rate
due June , 2007
(the "Notes")
$1,000 principal amount per unit
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The Notes: Payment on the maturity date:
o The Notes are designed for investors o The amount you receive on the maturity
who believe that the 10 Year Constant date will be based on the change in the
Maturity Treasury Rate will remain 10 Year Constant Maturity Treasury Rate
within ranges described below over the over the term of the notes. If the 10
term of the Notes and are willing to Year Constant Maturity Treasury Rate on
risk receiving no return on the Notes the fifth business day prior to the
if the 10 Year Constant Maturity maturity date:
Treasury Rate is outside of those
ranges on the fifth business day prior o has not increased or decreased by
to the maturity date, as more fully more than 0.50% from the initial
described in this pricing supplement. 10 Year Constant Maturity
Treasury Rate determined on the
o 100% principal protection on the date the Notes are priced for
maturity date. initial sale to the public, you
will receive an amount per unit
o There will be no payments prior to the equal to $1,070;
maturity date and we cannot redeem the
Notes prior to the maturity date. o has increased or decreased by
more than 0.50% from the initial
o The Notes will not be listed on any 10 Year Constant Maturity Rate,
securities exchange. but has not increased or
decreased by more than 1.00% from
o The Notes will be senior unsecured debt the initial 10 Year Constant
securities of Merrill Lynch & Co., Maturity Rate, you will receive
Inc., will be part of a series entitled an amount per unit equal to
"Medium-Term Notes, Series C" and will $1,050;
have the CUSIP No. .
o has increased or decreased by
o The settlement date for the Notes is more than 1.00% from the initial
expected to be April , 2006. 10 Year Constant Maturity Rate,
you will only receive an amount
per unit equal to the $1,000
principal amount;
in each case as more fully described in
this pricing supplement.
o In no event will you receive less than
the $1,000 principal amount per unit.
Information included in this pricing supplement supercedes 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 the
accompanying prospectus supplement.
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Per Unit Total
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Public offering price....................... $1,000.00 $
Underwriting discount....................... $5.00 $
Proceeds, before expenses, to
Merrill Lynch & Co., Inc.................. $995.00 $
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.
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Merrill Lynch & Co.
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The date of this pricing supplement is March , 2006.
TABLE OF CONTENTS
Pricing Supplement
SUMMARY INFORMATION--Q&A..................................................PS-3
RISK FACTORS..............................................................PS-7
DESCRIPTION OF THE NOTES..................................................PS-9
THE 10 YEAR CONSTANT MATURITY TREASURY RATE..............................PS-11
UNITED STATES FEDERAL INCOME TAXATION....................................PS-14
ERISA CONSIDERATIONS.....................................................PS-19
USE OF PROCEEDS AND HEDGING..............................................PS-20
SUPPLEMENTAL PLAN OF DISTRIBUTION........................................PS-20
EXPERTS..................................................................PS-20
INDEX OF CERTAIN DEFINED TERMS...........................................PS-21
Prospectus Supplement
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
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
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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 Target
Return Notes Linked to the 10 Year Constant Maturity Treasury Rate due June ,
2007 (the "Notes"). You should carefully read this pricing supplement and the
accompanying prospectus supplement and prospectus to fully understand the
terms of the Notes 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 of 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 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 June , 2007. Depending on the date the Notes
are priced for initial sale to the public (the "Pricing Date"), which may be
in March or April, the settlement date may occur in May instead of April and
the maturity date may occur in July instead of June. Any reference in this
pricing supplement to the month in which the settlement date or maturity date
will occur is subject to change as specified above.
We cannot redeem the Notes at an earlier date. We will not make any
payment on the Notes until the maturity date.
Each unit will represent a single Note with a $1,000 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 certain risks. Please
refer to the section entitled "Risk Factors" in this pricing supplement and
the accompanying prospectus supplement.
What does the 10 Year Constant Maturity Treasury Rate reflect?
For purposes of determining the Redemption Amount on the Notes, the 10
Year Constant Maturity Treasury Rate (the "10Yr CMT Rate") is the rate which
expresses the yield to maturity on U.S. Treasury securities with a constant
maturity of 10 years as reported by Bloomberg under the symbol H15T10Y. If the
10Yr CMT Rate cannot be determined as described in the preceding sentence,
such rate will be determined in accordance with the procedures set forth in
the accompanying prospectus supplement relating to determination of the CMT
Rate based on CMT Moneyline Telerate Page 7051. For more information on the
10Yr CMT Rate, please see the section entitled "The 10 Year Constant Maturity
Treasury Rate" in this pricing supplement.
How has the 10 Year Constant Maturity Rate performed historically?
We have included tables and graphs showing month-end levels of the 10Yr
CMT Rate and the historical spread between the 10Yr CMT Rate and its level 14
months beforehand, a term expected to approximately equal that of the Notes,
from January 2001 to February 2006 in the section entitled "The 10 Year
Constant Maturity Treasury Rate" in this pricing supplement. We have provided
this historical information to help you evaluate the behavior of the 10Yr CMT
Rate in various economic environments; however, past performance is not
necessarily indicative of how the 10Yr CMT Rate will perform in the future.
PS-3
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
change in the 10Yr CMT Rate over the term of the Notes and will equal:
If the Final 10Yr CMT Rate:
(i) has not increased or decreased by more than 0.50% from the Initial
10Yr CMT Rate, $1,070;
(ii) has increased or decreased by more than 0.50% from the Initial 10Yr
CMT Rate, but has not increased or decreased by more than 1.00% from the
Initial 10Yr CMT Rate, $1,050;
(iii) has increased or decreased by more than 1.00% from the Initial
10Yr CMT Rate, $1,000 principal amount;
but in no case will you receive less than $1,000 per unit of the Notes.
The "Initial 10Yr CMT Rate" will equal the level of the 10Yr CMT Rate as
reported by Bloomberg under the symbol H15T10Y immediately after 4 P.M., New
York time on the Pricing Date.
The "Final 10Yr CMT Rate" will equal the level of the 10Yr CMT Rate as
reported by Bloomberg under the symbol H15T10Y immediately after 4 P.M., New
York time on the Observation Date.
The "Observation Date" will be the fifth Business Day prior to the
maturity date of the Notes.
Will I receive interest payments on the Notes?
You will not receive any interest payments on the Notes, but you will
receive the Redemption Amount on the maturity date based on the change of the
10Yr CMT Rate over the term of the Notes. 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 receiving the Redemption Amount on the maturity
date.
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Examples
Set forth below are three examples of interest rate calculations per each
$1,000 principal amount per Note, assuming a hypothetical Initial 10Yr
CMT Rate of 4.74% (the examples below assume either an upward or downward
movement of the 10Yr CMT Rate, however the Redemption Amount in each
example would be the same if the direction of the 10Yr CMT Rate change
was reversed):
Example 1--The hypothetical Initial 10 Yr CMT Rate is 1.14% basis points
below the Final 10Yr CMT Rate:
Hypothetical Level of the Initial 10Yr CMT Rate: 4.74%
Hypothetical Level of the Final 10Yr CMT Rate: 3.60%
Change = -1.14%
Redemption Amount per unit = $1,000 (Redemption Amount cannot be less than
$1,000)
Example 2-- The hypothetical Initial 10Yr CMT Rate is 0.70% basis points
above the Final 10 Yr CMT Rate:
Hypothetical Level of the Initial 10Yr CMT Rate: 4.74%
Hypothetical Level of the Final 10Yr CMT Rate: 5.44%
Change = 0.70%
Redemption Amount per unit = $1,050
Example 3-- The hypothetical Initial 10Yr CMT Rate is 0.20% basis points
above the Final 10Yr CMT Rate:
Hypothetical Level of the Initial 10Yr CMT Rate: 4.74%
Hypothetical Level of the Final 10Yr CMT Rate: 4.94%
Change = 0.20%
Redemption Amount per unit = $1,070
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PS-4
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 Redemption
Amount will be, or that the actual Redemption Amount will even exceed $1,000
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 Note for $1,000 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 and $ in 2007. However, in
2007, the amount of ordinary income that you will be required to pay taxes on
from owning each Note may be greater or less than $ , depending upon the
actual Redemption Amount, if any, you receive. Also, if the actual Redemption
Amount is less than $ , you may have a loss which you could deduct against
other income you may have in 2007, 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 stock 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 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 and the volatility of
the 10Yr CMT Rate, and the expectations of the amount, if any, by which the
10Yr CMT Rate, will change. 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 principal amount per unit of your Notes if sold
before the stated maturity date.
In a situation where the Final 10Yr CMT Rate is outside the applicable
ranges and no changes in the market conditions or any other relevant factors
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 principal amount of the Notes. 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 currently 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. (the "Calculation Agent") will
serve as Calculation Agent for purposes of determining, among other
PS-5
things, the Final 10Yr CMT Rate 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.
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 the other
documents we have filed with the SEC, 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 certain risks. You should
consider carefully the following discussion of risks and the discussion of
risks included in the accompanying prospectus supplement before you decide
that an investment in the Notes is suitable for you.
You may not earn a return on your investment
If on the Observation Date the Final 10Yr CMT Rate is outside the
applicable ranges, you will only receive the $1,000 principal amount per unit
on the maturity date. We have no control over a number of matters, including
economic, financial and political events, that may affect the volatility of
the 10Yr CMT Rate. In recent years, the volatility of the 10Yr CMT Rate has
been highly variable and such variability may be expected in the future.
However, past experience is not necessarily indicative of what may occur in
the future.
Your yield may be lower than the yield on other debt securities of comparable
maturity
The yield that you 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 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.
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 currently 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. The limited trading market for 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 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 no changes in the market conditions or any other relevant
factors 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 principal amount of the Notes. This is due
to, among other things, the fact that the 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. 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.
PS-7
The level of the 10Yr CMT Rate 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 level of the 10Yr CMT Rate
changes versus the Initial 10Yr CMT Rate. In general, the value of the Notes
will increase when the spread between the 10Yr CMT Rate and the Initial 10Yr
CMT Rate is at or close to zero and the value of the Notes will decrease when
the spread between the 10Yr CMT Rate and the Initial 10Yr CMT Rate increases.
Changes in the volatility of the 10Yr CMT Rate 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 10Yr CMT Rate increases or decreases, the trading value of the Notes may
be adversely affected.
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 change in the level of the 10Yr CMT Rate over the term
of the Notes, an improvement in our credit ratings will not reduce the other
investment risks related to the Notes.
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.
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 Final 10Yr CMT Rate 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 how the Final 10Yr CMT Rate will be
determined. See the section entitled "The 10 Year Constant Maturity Treasury
Rate" 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.
Tax consequences are uncertain
You should consider the tax consequences of investing in the Notes,
aspects of which are uncertain. See "United States Federal Income Taxation" in
this pricing supplement.
PS-8
DESCRIPTION OF THE NOTES
ML&Co. will issue the Notes as 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 June
, 2007. Information included in this pricing supplement supercedes 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 at the option
of any holder prior to the maturity date.
ML&Co. will issue the Notes in denominations of whole units each with a
$1,000 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
Depositary 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, for each Note that you own you will receive a cash
payment per unit equal to the Redemption Amount, as provided below.
Determination of the Redemption Amount
The "Redemption Amount" will be determined by the Calculation Agent and
will equal:
If the Final 10Yr CMT Rate:
(i) has not increased or decreased by more than 0.50% from the Initial
10Yr CMT Rate, $1,070;
(ii) has increased or decreased by more than 0.50% from the Initial 10Yr
CMT Rate, but has not increased or decreased by more than 1.00% from the
Initial 10Yr CMT Rate, $1,050;
(iii) has increased or decreased by more than 1.00% from the Initial
10Yr CMT Rate, $1,000 principal amount;
but in no case will you receive less than $1,000 per unit of the Notes.
The "Initial 10Yr CMT Rate" will equal the level of the 10Yr CMT Rate,
as reported by Bloomberg under the symbol H15T10Y immediately after 4 P.M.,
New York time on the date the Notes are priced for initial sale to the public
("the Pricing Date").
The "Final 10Yr CMT Rate" will equal the level of the 10Yr CMT Rate, as
reported by Bloomberg under the symbol H15T10Y immediately after 4 P.M., New
York time on the Observation Date.
The "Observation Date" will be the fifth scheduled Business Day before
the maturity date 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.
All determinations made by the Calculation Agent in good faith and on a
reasonable basis and, 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-9
Events of Default and Acceleration
In case an Event of Default with respect to any Notes has occurred and
is continuing, the amount payable to a holder of the Notes upon any
acceleration permitted by the Notes, with respect to each unit of the Notes,
will be equal to the Redemption Amount, calculated as though the date of
acceleration were the stated maturity date of the Notes.
In case of default in payment of the Notes, whether on the stated
maturity date or upon acceleration, from and after that date the Notes will
bear interest, payable upon demand of their holders, at the rate of % per
annum, to the extent that payment of any interest is legally enforceable on
the unpaid amount due and payable on that date in accordance with the terms of
the Notes to the date payment of that amount has been made or duly provided
for.
PS-10
THE 10 YEAR CONSTANT MATURITY TREASURY RATE
The 10Yr CMT Rate is the rate which expresses the yield to maturity on
U.S. Treasury securities with a constant maturity of 10 years as reported by
Bloomberg under the symbol H15T10Y. If the Constant Maturity Treasury Rate
with a maturity of ten years cannot be determined as described in the
preceding sentences, such rate will be determined in accordance with the
procedures set forth in the accompanying prospectus supplement relating to
determination of the CMT Rate based on CMT Moneyline Telerate Page 7051.
The following table sets forth the month-end levels (as of approximately
4 P.M., New York time on the last business day of each month) of the 10Yr CMT
Rate for the period from January 2001 through February 2006. The historical
data on the 10Yr CMT Rate is not necessarily indicative of the future
performance of the 10Yr CMT Rate or what the value of the Notes may be. Any
historical upward or downward trend in the level of the 10Yr CMT Rate during
any period set forth below is not an indication that the level of the 10Yr CMT
Rate is more or less likely to increase or decrease at any time over the term
of the Notes.
2001 2002 2003 2004 2005 2006
---- ---- ---- ---- ---- ----
January.................... 5.16% 5.04% 4.05% 4.15% 4.22% 4.42%
February................... 5.10% 4.91% 3.90% 4.08% 4.17% 4.57%
March...................... 4.89% 5.28% 3.81% 3.83% 4.50%
April...................... 5.14% 5.21% 3.96% 4.35% 4.34%
May........................ 5.39% 5.16% 3.57% 4.72% 4.14%
June....................... 5.28% 4.93% 3.33% 4.73% 4.00%
July....................... 5.24% 4.65% 3.98% 4.50% 4.18%
August..................... 4.97% 4.26% 4.45% 4.28% 4.26%
September.................. 4.73% 3.87% 4.27% 4.13% 4.20%
October.................... 4.57% 3.94% 4.29% 4.10% 4.46%
November................... 4.65% 4.05% 4.30% 4.19% 4.54%
December................... 5.09% 4.03% 4.27% 4.23% 4.47%
PS-11
The following graph sets forth the historical levels of the 10Yr CMT
Rate presented in the preceding table.
[GRAPHIC OMITTED]
The following table sets forth the historical spread between the
month-end 10Yr CMT Rate determined as described above and its level 14 months
beforehand, a term expected to approximately equal that of the Notes, from
January 2001 to February 2006. This data is not intended to be indicative of
the future performance of the spread between the 10Yr CMT Rate and its level
14 months later or what the value of the Notes may be. Any historical upward
or downward trend in the spread between the 10Yr CMT Rate and its historical
levels during any period set forth below is not an indication that spread of
the 10Yr CMT Rate is more or less likely to increase or decrease over the term
of the Notes.
2001 2002 2003 2004 2005 2006
---- ---- ---- ---- ---- ----
January............ -0.870% -0.680% -0.600% 0.100% -0.080% 0.230%
February........... -1.180% -0.330% -1.190% 0.050% -0.100% 0.340%
March.............. -1.770% 0.120% -1.230% -0.220% 0.350%
April.............. -1.380% 0.110% -0.950% 0.450% 0.260%
May................ -0.870% 0.270% -1.710% 0.910% 0.310%
June............... -0.710% -0.210% -1.880% 0.770% -0.350%
July............... -1.200% -0.740% -1.180% 0.930% -0.540%
August............. -1.130% -1.020% -0.480% 0.950% -0.470%
September.......... -1.320% -1.370% -0.380% 0.150% -0.300%
October............ -1.260% -1.030% 0.030% -0.350% 0.180%
November........... -1.150% -0.680% 0.430% -0.080% 0.410%
December........... -0.650% -0.540% 0.330% -0.060% 0.370%
PS-12
The following graph sets forth the historical levels of the 14 month
spread of the 10Yr CMT Rate presented in the preceding table.
[GRAPHIC OMITTED]
PS-13
UNITED STATES FEDERAL INCOME TAXATION
Set forth in full below is the opinion of Sidley Austin LLP, tax counsel
to ML&Co., as to certain United States federal income tax consequences of the
purchase, ownership and disposition of the Notes. This opinion is based upon
laws, regulations, rulings and decisions now in effect, all of which are
subject to change (including retroactive changes in effective dates) or
possible differing interpretations. The discussion below supplements the
discussion set forth under the section entitled "Certain United States Federal
Income Tax Considerations" that is contained in the accompanying prospectus
supplement and supercedes that discussion to the extent that it contains
information that is inconsistent with that which is contained in the
accompanying prospectus supplement. The discussion below deals only with Notes
held as capital assets and does not purport to deal with persons in special
tax situations, such as financial institutions, insurance companies, regulated
investment companies, real estate investment trusts, dealers in securities or
currencies, traders in securities that elect to mark to market, tax-exempt
entities or persons holding Notes in a tax-deferred or tax-advantaged account
(except to the extent specifically discussed below), persons whose functional
currency is not the United States dollar, persons subject to the alternative
minimum tax or persons holding Notes as a hedge against currency risks, as a
position in a "straddle" or as part of a "hedging", "conversion" or
"integrated" transaction for tax purposes. It also does not deal with holders
other than original purchasers (except where otherwise specifically noted in
this pricing supplement). The following discussion also assumes that the issue
price of the Notes, as determined for United States federal income tax
purposes, equals the principal amount thereof. If a partnership holds the
Notes, the tax treatment of a partner will generally depend upon the status of
the partner and the activities of the partnership. Thus, persons who are
partners in a partnership holding the Notes should consult their own tax
advisors. Moreover, all persons considering the purchase of the Notes should
consult their own tax advisors concerning the application of the United States
federal income tax laws to their particular situations as well as any
consequences of the purchase, ownership and disposition of the Notes arising
under the laws of any other taxing jurisdiction.
As used in this pricing supplement, the term "U.S. Holder" means a
beneficial owner of a Note that is for United States federal income tax
purposes (a) a citizen or resident of the United States, (b) a corporation,
partnership or other entity treated as a corporation or a partnership that is
created or organized in or under the laws of the United States, any state
thereof or the District of Columbia (other than a partnership that is not
treated as a United States person under any applicable Treasury regulations),
(c) an estate the income of which is subject to United States federal income
taxation regardless of its source, (d) a trust if a court within the United
States is able to exercise primary supervision over the administration of the
trust and one or more United States persons have the authority to control all
substantial decisions of the trust or (e) any other person whose income or
gain in respect of a Note is effectively connected with the conduct of a
United States trade or business. Notwithstanding clause (d) of the preceding
sentence, to the extent provided in Treasury regulations, certain trusts in
existence on August 20, 1996, and treated as United States persons prior to
that date that elect to continue to be treated as United States persons also
will be U.S. Holders. As used herein, the term "non-U.S. Holder" means a
beneficial owner of a Note that is not a U.S. Holder.
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. However, although the matter is not
free from doubt, under current law, each Note should be treated as a debt
instrument of ML&Co. for United States federal income tax purposes. ML&Co.
currently intends to characterize and treat each Note as a debt instrument of
ML&Co. for United States federal income tax purposes and, where required,
intends to file information returns with the Internal Revenue Service (the
"IRS") in accordance with this characterization and treatment, in the absence
of any change or clarification in the law, by regulation or otherwise,
requiring a different characterization and treatment of the Notes. Prospective
investors in the Notes should be aware, however, that the IRS is not bound by
ML&Co.'s characterization and treatment of the Notes as indebtedness, and the
IRS could possibly take a different position as to the proper characterization
and treatment of the Notes for United States federal income tax purposes. The
following discussion of the principal United States federal income tax
consequences of the purchase, ownership and disposition of the Notes is based
upon the assumption that each Note will be characterized and treated as a debt
instrument of ML&Co. for United States federal income tax purposes. If the
Notes are not in fact characterized and treated as debt instruments of ML&Co.
for United States federal
PS-14
income tax purposes, then the United States federal income tax treatment of
the purchase, ownership and disposition of the Notes could differ from the
treatment discussed below with the result that the timing and character of
income, gain or loss recognized in respect of a Note could differ from the
timing and character of income, gain or loss recognized in respect of a Note
had the Notes in fact been characterized and treated as debt instruments of
ML&Co. for United States federal income tax purposes.
U.S. Holders
The Treasury Regulations governing original issue discount (the "OID
Regulations"), provide special rules for calculating the yield and maturity of
certain debt instruments that provide for one or more alternative payment
schedules which become applicable upon the occurrence of one or more
contingencies where the timing and amounts of the payments that comprise each
payment schedule are known as of the issue date of the debt instrument.
However, these special rules under the OID Regulations generally only apply
if, based on all the facts and circumstances as of the issue date, a single
payment schedule is significantly more likely than not to occur. In this
regard, ML&Co. has determined that there is no single payment schedule
applicable to the Notes which is significantly more likely than not to occur
over all of the other possible payment schedules. Accordingly, since the
amount payable with respect to the Notes on the maturity date will be based on
the change in the 10 Year Constant Maturity Treasury Rate over the term of the
Notes, certain final Treasury Regulations (the "CPDI Regulations") concerning
the proper United States federal income tax treatment of contingent payment
debt instruments will apply to the Notes. In general, the CPDI Regulations
cause the timing and character of income, gain or loss reported on a
contingent payment debt instrument to substantially differ from the timing and
character of income, gain or loss reported on a conventional noncontingent
payment debt instrument. Specifically, the CPDI Regulations generally require
a U.S. Holder of such an instrument to include future contingent and
noncontingent interest payments in income as that interest accrues based upon
a projected payment schedule. Moreover, in general, under the CPDI
Regulations, any gain recognized by a U.S. Holder on the sale, exchange, or
retirement of a contingent payment debt instrument is treated as ordinary
income, and all or a portion of any loss realized could be treated as ordinary
loss as opposed to capital loss (depending upon the circumstances). The CPDI
Regulations provide no definitive guidance as to whether or not an instrument
is properly characterized as a debt instrument for United States federal
income tax purposes.
In particular, solely for purposes of applying the CPDI Regulations to
the Notes, ML&Co. has determined that the projected payment schedule for the
Notes will consist of a payment on the maturity date of a projected Redemption
Amount equal to $ per unit (the "Projected Redemption Amount"). This
represents an estimated yield on the Notes equal to % per annum, compounded
semi-annually. Accordingly, during the term of the Notes, a U.S. Holder of a
Note will be required to include in income as ordinary interest an amount
equal to the sum of the daily portions of interest on the Note that are deemed
to accrue at this estimated yield for each day during the taxable year (or
portion of the taxable year) on which the U.S. Holder holds the Note. The
amount of interest that will be deemed to accrue in any accrual period (i.e.,
generally each six-month period during which the Notes are outstanding) will
equal the product of this estimated yield (properly adjusted for the length of
the accrual period) and the Note's adjusted issue price (as defined below) at
the beginning of the accrual period. The daily portions of interest will be
determined by allocating to each day in the accrual period the ratable portion
of the interest that is deemed to accrue during the accrual period. In
general, for these purposes a Note's adjusted issue price will equal the
Note's issue price (i.e., $1,000), increased by the interest previously
accrued on the Note. At maturity of a Note, in the event that the actual
amount payable on the maturity date (the "Actual Redemption Amount") exceeds $
per unit (i.e., the Projected Redemption Amount), a U.S. Holder will be
required to include the excess of the Actual Redemption Amount over $ per unit
(i.e., the Projected Redemption Amount) in income as ordinary interest on the
stated maturity date. Alternatively, in the event that the Actual Redemption
Amount, if any, is less than $ per unit (i.e., the Projected Redemption
Amount), the amount by which the Projected Redemption Amount (i.e., $ per
unit) exceeds the Actual Redemption Amount will be treated first as an offset
to any interest otherwise includible in income by the U.S. Holder with respect
to the Note for the taxable year in which the stated maturity date occurs to
the extent of the amount of that includible interest. Further, a U.S. Holder
will be permitted to recognize and deduct, as an ordinary loss that is not
subject to the limitations applicable to miscellaneous itemized deductions,
any remaining portion of the Projected Redemption Amount (i.e., $ per unit) in
excess of the Actual Redemption Amount that is not treated as an interest
offset pursuant to the foregoing rules. In addition, U.S. Holders purchasing a
Note at a price that differs from the adjusted issue price of the Note as of
the purchase date (e.g., subsequent purchases) will be subject to rules
providing for certain adjustments to the foregoing rules and these U.S.
Holders should consult their own tax advisors concerning these rules.
PS-15
Upon the sale or exchange of a Note prior to the stated maturity date,
a U.S. Holder will be required to recognize taxable gain or loss in an amount
equal to the difference, if any, between the amount realized by the U.S.
Holder upon that sale or exchange and the U.S. Holder's adjusted tax basis in
the Note as of the date of disposition. A U.S. Holder's adjusted tax basis in
a Note generally will equal the U.S. Holder's initial investment in the Note
increased by any interest previously included in income with respect to the
Note by the U.S. Holder. Any taxable gain will be treated as ordinary income.
Any taxable loss will be treated as ordinary loss to the extent of the U.S.
Holder's total interest inclusions on the Note. Any remaining loss generally
will be treated as long-term or short-term capital loss (depending upon the
U.S. Holder's holding period for the Note). All amounts includible in income
by a U.S. Holder as ordinary interest pursuant to the CPDI Regulations will be
treated as original issue discount.
All prospective investors in the Notes should consult their own tax
advisors concerning the application of the CPDI Regulations to their
investment in the Notes. Investors in the Notes may obtain the projected
payment schedule, as determined by ML&Co. for purposes of applying the CPDI
Regulations to the Notes, by submitting a written request for that information
to Merrill Lynch & Co., Inc., Corporate Secretary's Office, 222 Broadway, 17th
Floor, New York, New York 10038, (212) 670-0432,
corporatesecretary@exchange.ml.com.
The projected payment schedule (including both the Projected
Redemption Amount and the estimated yield on the Notes) has been determined
solely for United States federal income tax purposes (i.e., for purposes of
applying the CPDI Regulations to the Notes), and is neither a prediction nor a
guarantee of what the Actual Redemption Amount will be, or that the Actual
Redemption Amount will even exceed $1,000 per unit of the Notes.
Hypothetical Table
The following table sets forth the amount of interest that would be
deemed to have accrued with respect to each Note during each accrual period
over an assumed term of fourteen months for the Notes based upon a
hypothetical projected payment schedule for the Notes (including both a
hypothetical Projected Redemption Amount and a hypothetical estimated yield
equal to 5.19% per annum (compounded semi-annually)) as determined by ML&Co.
for purposes of illustrating the application of the CPDI Regulations to the
Notes as if the Notes had been issued on March 8, 2006 and were scheduled to
mature on May 8, 2007. The following table is for illustrative purposes only.
The actual projected payment schedule for the Notes (including both the actual
Projected Redemption Amount and the actual estimated yield) will be determined
by ML&Co. on the Pricing Date and will depend upon actual market interest
rates (and thus ML&Co.'s borrowing costs for debt instruments with comparable
maturities) as of that date. The actual projected payment schedule for the
Notes (including both the actual Projected Redemption Amount and the actual
estimated yield) and the actual tax accrual table will be set forth in the
final pricing supplement delivered to investors in connection with the initial
sale of the Notes.
Interest Total interest
deemed deemed to have
to accrue accrued on
on Notes Notes
during as of end
accrual of accrual
period period
Accrual Period (per Note) (per Note)
-------------- ---------- ----------
March 8, 2006 through May 8, 2006.............. $8.60 $8.60
May 9, 2006 through November 8, 2006........... $26.17 $34.77
November 9, 2006 through May 8, 2007........... $26.85 $61.62
- ----------
Hypothetical Projected Redemption Amount = $1,061.62 per Note.
Unrelated Business Taxable Income
Section 511 of the Internal Revenue Code of 1986, as amended (the
"Code"), generally imposes a tax, at regular corporate or trust income tax
rates, on the "unrelated business taxable income" of certain tax-exempt
organizations, including qualified pension and profit sharing plan trusts and
individual retirement accounts. In
PS-16
general, if the Notes are held for investment purposes, the amount of income
or gain realized with respect to the Notes will not constitute unrelated
business taxable income. However, if a Note constitutes debt-financed property
(as defined in Section 514(b) of the Code) by reason of indebtedness incurred
by a holder of a Note to purchase the Note, all or a portion of any income or
gain realized with respect to such Note may be classified as unrelated
business taxable income pursuant to Section 514 of the Code. Moreover,
prospective investors in the Notes should be aware that whether or not any
income or gain realized with respect to a Note which is owned by an
organization that is generally exempt from U.S. federal income taxation
pursuant to Section 501(a) of the Code constitutes unrelated business taxable
income will depend upon the specific facts and circumstances applicable to
such organization. Accordingly, any potential investors in the Notes that are
generally exempt from U.S. federal income taxation pursuant to Section 501(a)
of the Code are urged to consult with their own tax advisors concerning the
U.S. federal income tax consequences to them of investing in the Notes.
Non-U.S. Holders
A non-U.S. Holder will not be subject to United States federal income
taxes on payments of principal, premium (if any) or interest (including
original issue discount) on a Note, unless the non-U.S. Holder is a direct or
indirect 10% or greater shareholder of ML&Co., a controlled foreign
corporation related to ML&Co. or a bank receiving interest described in
Section 881(c)(3)(A) of the Code. However, income allocable to non-U.S.
Holders will generally be subject to annual tax reporting on IRS Form 1042-S.
For a non-U.S. Holder to qualify for the exemption from taxation, any person,
U.S. or foreign, that has control, receipt or custody of an amount subject to
withholding, or who can disburse or make payments of an amount subject to
withholding (the "Withholding Agent") must have received a statement that (a)
is signed by the beneficial owner of the Note under penalties of perjury, (b)
certifies that the owner is a non-U.S. Holder and (c) provides the name and
address of the beneficial owner. The statement may generally be made on IRS
Form W-8BEN (or other applicable form) or a substantially similar form, and
the beneficial owner must inform the Withholding Agent of any change in the
information on the statement within 30 days of that change by filing a new IRS
Form W-8BEN (or other applicable form). Generally, an IRS Form W-8BEN provided
without a U.S. taxpayer identification number will remain in effect for a
period starting on the date the form is signed and ending on the last day of
the third succeeding calendar year, unless a change in circumstances makes any
information on the form incorrect. If a Note is held through a securities
clearing organization or certain other financial institutions, the
organization or institution may provide a signed statement to the Withholding
Agent. Under certain circumstances, the signed statement must be accompanied
by a copy of the applicable IRS Form W-8BEN (or other applicable form) or the
substitute form provided by the beneficial owner to the organization or
institution.
Under current law, a Note will not be includible in the estate of a
non-U.S. Holder unless the individual is a direct or indirect 10% or greater
shareholder of ML&Co. or, at the time of the individual's death, payments in
respect of that Note would have been effectively connected with the conduct by
the individual of a trade or business in the United States.
Backup withholding
Backup withholding at the applicable statutory rate of United States
federal income tax may apply to payments made in respect of the Notes to
registered owners who are not "exempt recipients" and who fail to provide
certain identifying information (such as the registered owner's taxpayer
identification number) in the required manner. Generally, individuals are not
exempt recipients, whereas corporations and certain other entities generally
are exempt recipients. Payments made in respect of the Notes to a U.S. Holder
must be reported to the IRS, unless the U.S. Holder is an exempt recipient or
establishes an exemption. Compliance with the identification procedures
described in the preceding section would establish an exemption from backup
withholding for those non-U.S. Holders who are not exempt recipients.
In addition, upon the sale of a Note to (or through) a broker, the
broker must withhold on the entire purchase price, unless either (a) the
broker determines that the seller is a corporation or other exempt recipient
or (b) the seller provides, in the required manner, certain identifying
information (e.g., an IRS Form W-9) and, in the case of a non-U.S. Holder,
certifies that the seller is a non-U.S. Holder (and certain other conditions
are met). This type of sale must also be reported by the broker to the IRS,
unless either (a) the broker determines that the seller is an exempt recipient
or (b) the seller certifies its non-U.S. status (and certain other conditions
are met). Certification of
PS-17
the registered owner's non-U.S. status would be made normally on an IRS Form
W-8BEN (or other applicable form) under penalties of perjury, although in
certain cases it may be possible to submit other documentary evidence.
Any amounts withheld under the backup withholding rules from a payment
to a beneficial owner would be allowed as a refund or a credit against the
beneficial owner's United States federal income tax provided the required
information is furnished to the IRS.
PS-18
ERISA CONSIDERATIONS
Each fiduciary of a pension, profit-sharing or other employee benefit
plan (a "plan") subject to the Employee Retirement Income Security Act of
1974, as amended ("ERISA"), should consider the fiduciary standards of ERISA
in the context of the plan's particular circumstances before authorizing an
investment in the Notes. Accordingly, among other factors, the fiduciary
should consider whether the investment would satisfy the prudence and
diversification requirements of ERISA and would be consistent with the
documents and instruments governing the plan, and whether the investment would
involve a prohibited transaction under Section 406 of ERISA or Section 4975 of
the Code.
Section 406 of ERISA and Section 4975 of the Code prohibit plans, as
well as individual retirement accounts and Keogh plans subject to Section 4975
of the Code (also "plans") from engaging in certain transactions involving
"plan assets" with persons who are "parties in interest" under ERISA or
"disqualified persons" under the Code ("parties in interest") with respect to
the plan or account. A violation of these prohibited transaction rules may
result in civil penalties or other liabilities under ERISA and/or an excise
tax under Section 4975 of the Code for those persons, unless exemptive relief
is available under an applicable statutory, regulatory or administrative
exemption. Certain employee benefit plans and arrangements including those
that are governmental plans (as defined in section 3(32) of ERISA), certain
church plans (as defined in Section 3(33) of ERISA) and foreign plans (as
described in Section 4(b)(4) of ERISA) ("non-ERISA arrangements") are not
subject to the requirements of ERISA or Section 4975 of the Code but may be
subject to similar provisions under applicable federal, state, local, foreign
or other regulations, rules or laws ("similar laws").
The acquisition of the Notes by a plan with respect to which we, MLPF&S
or certain of our affiliates is or becomes a party in interest may constitute
or result in a prohibited transaction under ERISA or Section 4975 of the Code,
unless those Notes are acquired pursuant to and in accordance with an
applicable exemption. The U.S. Department of Labor has issued five prohibited
transaction class exemptions, or "PTCEs", that may provide exemptive relief if
required for direct or indirect prohibited transactions that may arise from
the purchase or holding of the Notes. These exemptions are:
(1) PTCE 84-14, an exemption for certain transactions determined or
effected by independent qualified professional asset managers;
(2) PTCE 90-1, an exemption for certain transactions involving
insurance company pooled separate accounts;
(3) PTCE 91-38, an exemption for certain transactions involving bank
collective investment funds;
(4) PTCE 95-60, an exemption for transactions involving certain
insurance company general accounts; and
(5) PTCE 96-23, an exemption for plan asset transactions managed by
in-house asset managers.
The Notes may not be purchased or held by (1) any plan, (2) any entity
whose underlying assets include "plan assets" by reason of any plan's
investment in the entity (a "plan asset entity") or (3) any person investing
"plan assets" of any plan, unless in each case the purchaser or holder is
eligible for the exemptive relief available under one or more of the PTCEs
listed above or another applicable similar exemption. Any purchaser or holder
of the Notes or any interest in the Notes will be deemed to have represented
by its purchase and holding of the Notes that it either (1) is not a plan or a
plan asset entity and is not purchasing those Notes on behalf of or with "plan
assets" of any plan or plan asset entity or (2) with respect to the purchase
or holding, is eligible for the exemptive relief available under any of the
PTCEs listed above or another applicable exemption. In addition, any purchaser
or holder of the Notes or any interest in the Notes which is a non-ERISA
arrangement will be deemed to have represented by its purchase and holding of
the Notes that its purchase and holding will not violate the provisions of any
similar law.
PS-19
Due to the complexity of these rules and the penalties that may be
imposed upon persons involved in non-exempt prohibited transactions, it is
important that fiduciaries or other persons considering purchasing the Notes
on behalf of or with "plan assets" of any plan, plan asset entity or non-ERISA
arrangement consult with their counsel regarding the availability of exemptive
relief under any of the PTCEs listed above or any other applicable exemption,
or the potential consequences of any purchase or holding under similar laws,
as applicable.
USE OF PROCEEDS AND HEDGING
The net proceeds from the sale of the Notes will be used as described
under "Use of Proceeds" in the accompanying prospectus and to hedge market
risks of ML&Co. associated with its obligations in connection with the Notes.
SUPPLEMENTAL PLAN OF DISTRIBUTION
MLPF&S has advised ML&Co. that it proposes initially to offer all or
part of the Notes directly to the public on a fixed price basis at the
offering price set forth on the cover of this pricing supplement. After the
initial public offering, the public offering price may be changed. The
obligations of MLPF&S are subject to certain conditions and it is committed to
take and pay for all of the Notes if any are taken.
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 pricing supplement by reference
from Merrill Lynch & Co., Inc.'s Annual Report on Form 10-K for the year ended
December 30, 2005 have been audited by Deloitte & Touche LLP, an independent
registered public accounting firm, as stated in their reports, which are
incorporated herein by reference, and have been so incorporated in reliance
upon the reports of such firm given upon their authority as experts in
accounting and auditing.
PS-20
INDEX OF CERTAIN DEFINED TERMS
10Yr CMT Rate.............................................................PS-3
Business Day..............................................................PS-9
Calculation Agent.........................................................PS-5
Final 10Yr CMT Rate.......................................................PS-4
Initial 10Yr CMT Rate.....................................................PS-4
Notes.....................................................................PS-1
Observation Date..........................................................PS-4
Pricing Date..............................................................PS-3
Redemption Amount.........................................................PS-4
PS-21
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[GRAPHIC OMITTED]
Units
Merrill Lynch & Co., Inc.
Medium-Term Notes, Series C
100% Protected Target Return Notes
Linked to the 10 Year Constant Maturity Treasury Rate
due June , 2007
(the "Notes")
$1,000 principal amount per unit
-----------------------
PRICING SUPPLEMENT
-----------------------
Merrill Lynch & Co.
March , 2006
================================================================================