Strategic Return Notes® Linked to the Select Utility Index

EXHIBIT (4)

THIS NOTE IS A GLOBAL SECURITY WITHIN THE MEANING OF THE INDENTURE HEREINAFTER REFERRED TO AND IS REGISTERED IN THE NAME OF A DEPOSITORY OR A NOMINEE THEREOF. UNLESS AND UNTIL IT IS EXCHANGED IN WHOLE OR IN PART FOR NOTES IN CERTIFICATED FORM, THIS NOTE MAY NOT BE TRANSFERRED EXCEPT AS A WHOLE BY THE DEPOSITORY TRUST COMPANY, A NEW YORK CORPORATION (“DTC”), TO A NOMINEE OF DTC OR BY DTC OR ANY SUCH NOMINEE TO A SUCCESSOR DEPOSITORY OR A NOMINEE OF SUCH SUCCESSOR DEPOSITORY. UNLESS THIS NOTE IS PRESENTED BY AN AUTHORIZED REPRESENTATIVE OF DTC TO MERRILL LYNCH & CO., INC. OR ITS AGENT FOR REGISTRATION OF TRANSFER, EXCHANGE OR PAYMENT, AND ANY NOTE ISSUED IS REGISTERED IN THE NAME OF CEDE & CO. OR IN SUCH OTHER NAME AS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC (AND ANY PAYMENT IS MADE TO CEDE & CO. OR TO SUCH OTHER ENTITY AS IS REQUESTED BY AN AUTHORIZED REPRESENTATIVE OF DTC), ANY TRANSFER, PLEDGE OR OTHER USE HEREOF FOR VALUE OR OTHERWISE BY OR TO ANY PERSON IS WRONGFUL INASMUCH AS THE REGISTERED OWNER HEREOF, CEDE & CO., HAS AN INTEREST HEREIN.

MERRILL LYNCH & CO., INC.

Strategic Return Notes ^® Linked to the Select Utility Index

due February 25, 2009

(the “Notes”)

Merrill Lynch & Co., Inc., a Delaware corporation (hereinafter referred to as the “Company”, which term includes any successor corporation under the Indenture herein referred to), for value received, hereby promises to pay to CEDE & CO., or its registered assigns, a sum for each Unit equal to the Redemption Amount, if any, as defined below, on February 25, 2009 (the “Stated Maturity”) or a sum for each Unit equal to the Exchange Amount, if any, as defined below, on the Exchange Date, as defined below.

Payment or delivery of the Redemption Amount or Exchange Amount and any interest on any overdue amount thereof with respect to this Note shall be made at the office or agency of the Company maintained for that purpose in the Borough of Manhattan, The City of New York, in such coin or currency of the United States of America as at the time of payment is legal tender for payment of public and private debts.

This Note is one of the series of Strategic Return Notes ^® Linked to the Select Utility Index due February 25, 2009.

Payment at Maturity

The “Redemption Amount” with respect to each Unit of this Note will be determined by the Calculation Agent (as defined below) and equals:

The Starting Value equals 100. The Ending Value will be determined by Merrill Lynch, Pierce, Fenner & Smith Incorporated (the “Calculation Agent”) and will equal the average (arithmetic mean) of the closing values of the Select Utility Index (as defined below) determined on each of the first five Calculation Days during the Calculation Period (each as defined below). If there are fewer than five Calculation Days in the Calculation Period, then the Ending Value will equal the average (arithmetic mean) of the closing values of the Select Utility Index on those Calculation Days. If there is only one Calculation Day during the Calculation Period, then the Ending Value will equal the closing value of the Select Utility Index on that Calculation Day. If no Calculation Days occur during the Calculation Period, then the Ending Value shall equal the closing value of the Select Utility Index determined on the last scheduled Index Business Day (as defined below) in the Calculation Period regardless of the occurrence of a Market Disruption Event (as defined below) on that Index Business Day. The “Select Utility Index” is calculated and disseminated by the American Stock Exchange (the “AMEX”) and is an index which reflects the price changes and dividends of twenty dividend-paying stocks from a group of certain stocks in the S&P Utilities Sector less an annual index adjustment factor of 1.5% applied daily.

This Note may be exchanged in whole or in part in whole Units at the option of the Holder during any Business Day (as defined below) during any Exchange Notice Period by delivery of appropriate written notice from the Holder to the Trustee (as defined below) (in the form of Annex A attached hereto). An “Exchange Notice Period” means the period from and including the first calendar day of the month of February to and including 12 noon in The City of New York on the fifteenth calendar day during the month of February in the years 2005, 2006, 2007 and 2008. If the fifteenth calendar day of the applicable month of February is not a Business Day, then the Exchange Notice Period will be extended to 12 noon in The City of New York on the next succeeding Business Day. The amount of the cash payment received with respect to each Unit upon exchange (the “Exchange Amount”) will be equal to the Redemption Amount, calculated as though the Exchange Date was the Stated Maturity Date and as though the Ending Value equals the closing value of the Select Utility Index on the Exchange Date. An “Exchange Date” will be the third Index Business Day following the end of the applicable Exchange Notice Period. If a Market Disruption Event occurs on the third Index Business Day following an Exchange Notice Period, the Exchange Date for that year will be the next succeeding Index Business Day on which a Market Disruption Event does not occur. The Exchange Amount will be paid three Business Days after the Exchange Date. To the extent a Unit represented by this Note is exchanged, the number of Units represented on the first page of this Note shall be reduced by each exchanged Unit and the number of such Units then outstanding shall be as maintained in the records of the Trustee.

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The “Calculation Period” means the period from and including the seventh scheduled Index Business Day prior to the Stated Maturity to and including the second scheduled Index Business Day prior to the Stated Maturity.

“Calculation Day” means any Index Business Day during the Calculation Period on which a Market Disruption Event has not occurred.

An “Index Business Day” means a day on which The New York Stock Exchange (the “NYSE”), the Nasdaq National Market and the AMEX are open for trading and the Select Utility Index or any Successor Index (as defined below) is calculated and published.

All determinations made by the Calculation Agent shall be at the sole discretion of the Calculation Agent and, absent a determination of a manifest error, shall be conclusive for all purposes and binding on the Company and the Holders and beneficial owners of the Notes.

Adjustments to the Select Utility Index; Market Disruption Events

If at any time the AMEX changes its method of calculating the Select Utility Index, or the value of the Select Utility Index changes, in any material respect, or if the Select Utility Index is in any other way modified so that the Select Utility Index does not, in the opinion of the Calculation Agent, fairly represent the value of the Select Utility Index had those changes or modifications not been made, then, from and after that time, the Calculation Agent shall, at the close of business in New York, New York, on each date that the closing value of the Select Utility Index is to be calculated, make any adjustments as, in the good faith judgment of the Calculation Agent, may be necessary in order to arrive at a calculation of a value of a stock index comparable to the Select Utility Index as if those changes or modifications had not been made, and calculate the closing value with reference to the Select Utility Index, as so adjusted. Accordingly, if the method of calculating the Select Utility Index is modified so that the value of the Select Utility Index is a fraction or a multiple of what it would have been if it had not been modified, e.g. , due to a split, then the Calculation Agent shall adjust the Select Utility Index in order to arrive at a value of the Select Utility Index as if it had not been modified, e.g. , as if the split had not occurred.

“Market Disruption Event” means either of the following events, as determined by the Calculation Agent: