MEMO # 08-421 DATE: 12/31/08
ACTION: On December 23, 2008, Shareholders of Wachovia Corporation (“WB”) voted concerning the proposed merger with Wells Fargo & Company (“WFC”). The merger was approved and, when consummated, each existing WB Common Share will be converted into the right to receive .1991 WFC Common Shares. Cash will be paid in lieu of fractional WFC shares.
This action will be coordinated with the Options Clearing Corporation.
CATEGORY: Cash Settlement
EQUITY SYMBOL: Wells Fargo & Company (“WFC”)
ONE CHICAGO SYMBOL: WB1C will change to WB2C
CME FUTURES SYMBOL: WB2C for the WB7, WB9 will not be reintroduced
MULTIPLIER: 100 (e.g., 1.00 equals $100.00)
EFFECTIVE DATE: Expected on: 1/02/09
NEW DELIVERABLE PER CONTRACT: 1) 19 Wells Fargo & Company (“WFC”) Common Shares
*2) Cash in lieu of .91 fractional WFC Shares
*The cash portion of the deliverable remains permanently fixed as part of the option deliverable, and does not vary with price changes of securities also included in the deliverable
APPLICABLE CONTRACT MONTHS: January, February, March, June 2009
SETTLEMENT PRICES AND POSITIONS: The underlying price for the WB2C Futures contract deliverable, expressed in term of current market value, would be calculated as follows:
WB2C = .19 (WFC) + cash in lieu of .91 WFC shares
Please note that the valuation would apply only to the WB2C deliverable in terms of current market value of the deliverable securities. The resulting price would not be equivalent to the daily settlement price of a futures contract month, whose determination would include cost of money carrying charges, adjustment for dividends, and other factors.
NOTES: The forecasted effect of the upcoming corporate event on each clearing firms’ positions can be viewed in infopac in the Corporate Event Initial Forecast Report (ONE712), the Corporate Event Final Forecast Report (ONE713), and the Corporate Event Forecast Audit Report (CPDBU710). If you have any questions regarding the information provided in the document, please call CME Clearing risk management hotline at (312) 648-3888.