mishedio,
I pulled this off of the cboe, I do not know how it is going to cut and paste but here it is.
Research Circular #RS00-960
December 22, 2000
*****REVISION*****REVISION*****REVISION***** J.P. Morgan & Co. Incorporated ("JPM/JPA/WJP/YPM/VJP") Proposed Merger with The Chase Manhattan Corporation ("CMB")
This memo updates CBOE Research Circular #RS00-944, dated December 18, 2000. The adjusted option symbol YQM has been changed to YBG.
Shareholders of J.P. Morgan & Co. Incorporated ("JPM/JPA/WJP/YPM/VJP") will vote on Friday, December 22, 2000, to approve a proposed Merger between JPM and The Chase Manhattan
Corporation ("CMB"). The combined company will be named J.P. Morgan Chase & Co. and will trade on the New York Stock Exchange ("NYSE") under the symbol ("JPM"). Pursuant to the
terms of the Merger, each share of JPM Common Stock outstanding immediately prior to the consummation of the Merger will be converted into the right to receive 3.7 shares of JPM ("New")
Common Stock. The Merger is expected to become effective on Sunday, December 31, 2000.
THE FOREGOING IS AN UNOFFICIAL SUMMARY OF THE TERMS OF THE MERGER, PREPARED BY CBOE FOR THE CONVENIENCE OF ITS MEMBERS. CBOE ACCEPTS NO
RESPONSIBILITY FOR THE ACCURACY OR COMPLETENESS OF THE SUMMARY. MEMBERS SHOULD REFER TO THE J.P. MORGAN & CO. INCORPORATED AND THE
CHASE MANHATTAN CORPORATION JOINT PROXY STATEMENT/PROSPECTUS DATED NOVEMBER 21, 2000, FOR THE AUTHORITATIVE DESCRIPTION OF THE MERGER
AND ALL OF ITS TERMS AND CONDITIONS.
Contract Adjustments
Pursuant to Article VI, Section 11, of OCC's By-Laws, all outstanding JPM/JPA/WJP/YPM/VJP options shall be adjusted as follows. On the business day immediately following the Effective
Time of the Merger each adjusted J.P. Morgan & Co. Incorporated contract will require the receipt or delivery of 370 shares of JPM ("New") Common Stock. Premiums for the adjusted J.P.
Morgan & Co. Incorporated options will continue to be calculated on the basis of a multiplier of 100, i.e., for premium and strike-price extensions, 1.00 will equal $100. The J.P. Morgan & Co.
Incorporated option symbol will change to JPB, JSA, YBG, YMB or OYJ, as the case may be. If the Merger is, in fact, completed on December 31, 2000, then the J.P. Morgan & Co.
Incorporated contract adjustment would be effective for Tuesday, January 2, 2001. [Any FLEX series that may exist will be adjusted in a similar manner to the standardized option.]
Adjusted Option Symbols
On the business day immediately following the Effective Time of the Merger, trading in the JPM/JPA/WJP/YPM/VJP option series will be on an adjusted basis. At 8:30 A.M., Chicago time, the
following symbol adjustments to the options will be effected:
EXISTING SERIES ADJUSTED SERIES*
MONTH/STRIKE CALLS PUTS MONTH/STRIKE CALLS PUTS
Jan 70 JPMAN JPMMN -> Jan 70 JPBAN JPBMN
Jan 80 JPMAP JPMMP -> Jan 80 JPBAP JPBMP
Jan 90 JPMAR JPMMR -> Jan 90 JPBAR JPBMR
Jan 100 JPMAT JPMMT -> Jan 100 JPBAT JPBMT
Jan 110 JPMAB JPMMB -> Jan 110 JPBAB JPBMB
Jan 120 JPMAD JPMMD -> Jan 120 JPBAD JPBMD
Jan 125 JPMAE JPMME -> Jan 125 JPBAE JPBME
Jan 130 JPMAF JPMMF -> Jan 130 JPBAF JPBMF
Jan 135 JPMAG JPMMG -> Jan 135 JPBAG JPBMG
Jan 140 JPMAH JPMMH -> Jan 140 JPBAH JPBMH
Jan 145 JPMAI JPMMI -> Jan 145 JPBAI JPBMI
Jan 150 JPMAJ JPMMJ -> Jan 150 JPBAJ JPBMJ
Jan 155 JPMAK JPMMK -> Jan 155 JPBAK JPBMK
Jan 160 JPMAL JPMML -> Jan 160 JPBAL JPBML
Jan 165 JPMAM JPMMM -> Jan 165 JPBAM JPBMM
Jan 170 JPMAZ JPMMZ -> Jan 170 JPBAZ JPBMZ
Jan 175 JPMAO JPMMO -> Jan 175 JPBAO JPBMO
Jan 180 JPAAP JPAMP -> Jan 180 JSAAP JSAMP
Jan 185 JPAAQ JPAMQ -> Jan 185 JSAAQ JSAMQ
Jan 190 JPAAR JPAMR -> Jan 190 JSAAR JSAMR
Jan 195 JPAAS JPAMS -> Jan 195 JSAAS JSAMS
Jan 200 JPAAT JPAMT -> Jan 200 JSAAT JSAMT
Feb 150 JPMBJ JPMNJ -> Feb 150 JPBBJ JPBNJ
Feb 155 JPMBK JPMNK -> Feb 155 JPBBK JPBNK
Feb 160 JPMBL JPMNL -> Feb 160 JPBBL JPBNL
Feb 165 JPMBM JPMNM -> Feb 165 JPBBM JPBNM
Feb 170 JPMBZ JPMNZ -> Feb 170 JPBBZ JPBNZ
Mar 125 JPMCE JPMOE -> Mar 125 JPBCE JPBOE
Mar 130 JPMCF JPMOF -> Mar 130 JPBCF JPBOF
Mar 135 JPMCG JPMOG -> Mar 135 JPBCG JPBOG
Mar 140 JPMCH JPMOH -> Mar 140 JPBCH JPBOH
Mar 145 JPMCI JPMOI -> Mar 145 JPBCI JPBOI
Mar 150 JPMCJ JPMOJ -> Mar 150 JPBCJ JPBOJ
Mar 155 JPMCK JPMOK -> Mar 155 JPBCK JPBOK
Mar 160 JPMCL JPMOL -> Mar 160 JPBCL JPBOL
Mar 165 JPMCM JPMOM -> Mar 165 JPBCM JPBOM
Mar 170 JPMCZ JPMOZ -> Mar 170 JPBCZ JPBOZ
Mar 175 JPMCO JPMOO -> Mar 175 JPBCO JPBOO
Mar 180 JPACP JPAOP -> Mar 180 JSACP JSAOP
Mar 185 JPACQ JPAOQ -> Mar 185 JSACQ JSAOQ
Mar 190 JPACR JPAOR -> Mar 190 JSACR JSAOR
Mar 195 JPACS JPAOS -> Mar 195 JSACS JSAOS
Mar 200 JPACT JPAOT -> Mar 200 JSACT JSAOT
Jun 120 JPMFD JPMRD -> Jun 120 JPBFD JPBRD
Jun 125 JPMFE JPMRE -> Jun 125 JPBFE JPBRE
Jun 130 JPMFF JPMRF -> Jun 130 JPBFF JPBRF
Jun 135 JPMFG JPMRG -> Jun 135 JPBFG JPBRG
Jun 140 JPMFH JPMRH -> Jun 140 JPBFH JPBRH
Jun 145 JPMFI JPMRI -> Jun 145 JPBFI JPBRI
Jun 150 JPMFJ JPMRJ -> Jun 150 JPBFJ JPBRJ
Jun 155 JPMFK JPMRK -> Jun 155 JPBFK JPBRK
Jun 160 JPMFL JPMRL -> Jun 160 JPBFL JPBRL
Jun 165 JPMFM JPMRM -> Jun 165 JPBFM JPBRM
Jun 170 JPMFZ JPMRZ -> Jun 170 JPBFZ JPBRZ
Jun 175 JPMFO JPMRO -> Jun 175 JPBFO JPBRO
Jun 180 JPAFP JPARP -> Jun 180 JSAFP JSARP
Jun 185 JPAFQ JPARQ -> Jun 185 JSAFQ JSARQ
Jun 190 JPAFR JPARR -> Jun 190 JSAFR JSARR
Jun 195 JPAFS JPARS -> Jun 195 JSAFS JSARS
Jun 200 JPAFT JPART -> Jun 200 JSAFT JSART
2002 LEAPS
Jan 100 WJPAT WJPMT -> Jan 100 YBGAT YBGMT
Jan 110 WJPAB WJPMB -> Jan 110 YBGAB YBGMB
Jan 120 WJPAD WJPMD -> Jan 120 YBGAD YBGMD
Jan 130 WJPAF WJPMF -> Jan 130 YBGAF YBGMF
Jan 140 WJPAH WJPMH -> Jan 140 YBGAH YBGMH
Jan 150 WJPAJ WJPMJ -> Jan 150 YBGAJ YBGMJ
Jan 160 WJPAL WJPML -> Jan 160 YBGAL YBGML
Jan 170 WJPAZ WJPMZ -> Jan 170 YBGAZ YBGMZ
Jan 180 WJPAP WJPMP -> Jan 180 YBGAP YBGMP
Jan 190 WJPAR WJPMR -> Jan 190 YBGAR YBGMR
Jan 200 YPMAT YPMMT -> Jan 200 YMBAT YMBMT
2003 LEAPS
Jan 120 VJPAD VJPMD -> Jan 120 OYJAD OYJMD
Jan 130 VJPAF VJPMF -> Jan 130 OYJAF OYJMF
Jan 140 VJPAH VJPMH -> Jan 140 OYJAH OYJMH
Jan 150 VJPAJ VJPMJ -> Jan 150 OYJAJ OYJMJ
Jan 160 VJPAL VJPML -> Jan 160 OYJAL OYJML
Jan 170 VJPAZ VJPMZ -> Jan 170 OYJAZ OYJMZ
Jan 180 VJPAP VJPMP -> Jan 180 OYJAP OYJMP
Jan 190 VJPAR VJPMR -> Jan 190 OYJAR OYJMR
* Any additional JPM/JPA/WJP/YPM/VJP series that are added prior to the effective time of the merger will also be adjusted in the manner described above.
Settlement
The OCC will delay settlement of JPB/JSA/YBG/YMB/OYJ exercise and assignment activity until the end of "when issued" trading in JPM ("New"), if any.
Hypothetical Pricing Example
Based on a 3.7 Exchange Ratio, the J.P. Morgan & Co. Incorporated adjusted contract deliverable is 370 shares of JPM ("New") Common Stock. Under these circumstances a hypothetical
adjusted JPB/JSA/YBG/YMB/OYJ underlying "price" may be determined as follows:
JPB = 3.7(JPM ("New")), rounded to the nearest sixteenth. For example, if JPM ("New") closes at $45.00, the underlying "per-share price" of JPB would be:
3.7($45.00)
= $166.50
= $166-1/2 (rounded to the nearest sixteenth)
In this hypothetical example, a JPB 160 Call contract would be $650.00 in the money (difference of strike amount of $160 x 100 = $16,000.00 and the
underlying deliverable "value" of $16,650.00 = 3.7[$45.00] x 100).
GTC Order Conversion
On the Effective Date of the Merger, immediately after the CBOE close, the system will convert or cancel all resting orders in the JPM/JPA/WJP/YPM/VJP
order books. If your firm has requested, all EBook orders (phone, wire, and electronic) and all ORS orders residing outside the book (booth or crowd
routed) will be converted reflecting the adjustments. If your firm has requested, all EBook orders and ORS orders residing outside of the book will be
canceled. If your firm receives EBook CXL drops, the CXL confirms will print at your booth at 3:15 p.m. ORS CXLs will also be transmitted electronically
to your branches.
Immediately after the close, the book staff will return a final written report listing the orders that are converted or canceled to all firms. If
converted, this list will also show how the new orders will be adjusted. This report will be available on request anytime during the day prior to the
night of the adjustment.
Questions regarding this memo can be addressed to the Options Industry Services Department at 1-888-OPTIONS (1-888-678-4667). This and all other CBOE
contract adjustment research circulars can be accessed from the CBOE Web site at the following web address: cboe.com |
