ACTION: On December 5, 2008, Shareholders of Merrill Lynch & Co., Inc. (“MER”) voted concerning the proposed merger with Bank of America Corporation (“BAC”). The merger was approved and, when consummated, each existing MER Common Share will be converted into the right to receive .8595 BAC Common Shares. Cash will be paid in lieu of fractional BAC shares.
This action will be coordinated with the Options Clearing Corporation.
CATEGORY: Cash Settlement
EQUITY SYMBOL: Merrill Lynch & Co., Inc. (“MER”)
ONE CHICAGO SYMBOL: MER1C will change to MER2C
CME FUTURES SYMBOL: ML8 for the MER2C, ML will not be reintroduced
MULTIPLIER: 100 (e.g., 1.00 equals $100.00)
EFFECTIVE DATE: 1/02/09
NEW DELIVERABLE PER CONTRACT: 1) 85 Bank of America Corporation (“BAC”) Common Shares
*2) Cash in lieu of .95 fractional BAC Shares
*The cash portion of the deliverable remains permanently fixed as part of the deliverable, and does not vary with price changes of securities also included in the deliverable
APPLICABLE CONTRACT MONTHS: January, February, March and June 2009
SETTLEMENT PRICES AND POSITIONS: The underlying price for the MER2C Futures contract deliverable, expressed in term of current market value, would be calculated as follows:
MER2C = .85 (BAC) + cash in lieu of .95 BAC shares
Please note that the valuation would apply only to the MER2C 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.