Make sure that you understand the deliverables for each option (i.e., the CLT options will include C, TAP.A, TAP.B, and cash).
Make sure that your broker understands what you are doing before you place the trade. Otherwise, they may treat your margin requirements as naked options (although this isn't true).
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For questions regarding this memo call 1-888-OPTIONS or e-mail
options@theocc.com.
Memo #18381
AUGUST 29, 2002
ADJUSTED CITIGROUP, INC. - SETTLEMENT
OPTION SYMBOLS: CLT / KYV(04) / XVW(05)
FURTHER ADJUSTED SYMBOLS: OCY / DVZ
Exercise and assignment activity of CLT / KYV / XVW / OCY / DVZ options (adjusted and further adjusted Citigroup, Inc. ("C") options) has been delayed pending the determination of the Travelers Property Casualty Corp. ("TAPA") Class A and Travelers Property Casualty Corp ("TAPB") Class B cash in lieu amounts (See The Options Clearing Corporation ("OCC") Information Memo #18366).
OCC has been informed that a price of $15.9382 per whole TAPA share and a price of $17.17740 per whole TAPB share will be used to determine the cash in lieu amounts. Accordingly, the cash in lieu amounts are:
CLT / KYV / XVW
TAPA cash in lieu = .32043 x $15.9382 = $5.11 per CLT/KYV/XVW Contract
TAPB cash in lieu = .87656 x 17.17740 = $15.06 per CLT/KYV/XVW Contract
OCY
TAPA cash in lieu = .7461719 x $15.9382 = $11.89 per OCY Contract
TAPB cash in lieu = .8058248 x 17.17740 = $13.84 per OCY Contract
DVZ
TAPA cash in lieu = .1539139 x $15.9382 = $2.45 per DVZ Contract
TAPB cash in lieu = .4798888 x 17.17740 = $8.24 per DVZ Contract
CLT / KYV / XVW / OCY / DVZ options exercised August 21, 2002, through August 29, 2002, which were subject to delayed settlement, will settle September 4, 2002. CLT/KYV/XVW/OCY/DVZ options exercised August 30, 2002, and thereafter will be subject to normal three business day settlement.
The terms of CLT / KYV / XVW / OCY / DVZ options are as follows:
NEW DELIVERABLE PER CONTRACT: CLT / KYV / XVW
1) 100 Citigroup, Inc. ("C") Common Shares
2) 4 Travelers Property Casualty Corp. ("TAPA") Class A Common Shares
3) 8 Travelers Property Casualty Corp. ("TAPB") Class B Common Shares
4) $20.17 Cash ($5.11 + $15.06) *
OCY
1) 133 Citigroup, Inc. ("C") Common Shares
2) 5 Travelers Property Casualty Corp. ("TAPA") Class A Common Shares
3) 11 Travelers Property Casualty Corp. ("TAPB") Class B Common Shares
4) $25.73 Cash ($11.89 + 13.84)*
DVZ
1) 73 Citigroup, Inc. ("C") Common Shares
2) 3 Travelers Property Casualty Corp. ("TAPA") Class A Common Shares
3) 6 Travelers Property Casualty Corp. ("TAPB") Class B Common Shares
4) $27.63 Cash ($2.45 + $8.24 +$16.94)*
*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.
STRIKE PRICES: Unchanged
MULTIPLIER: CLT / KYV / XVW / DVZ
100 (i.e., a premium of 1 1/2 yields $150; a strike of 35 yields $3,500.00)
OCY
133 (e.g., a premium of 1 ½ yields $199.50; a strike of 30 yields $3990)
CUSIP: C: 172967101
TAPA: 89420G109
TAPB: 89420G406
SETTLEMENT
The C, TAPA, and TAPB components of the CLT/KYV/XVW option deliverable will settle through National Securities Clearing Corporation ("NSCC"); 90% of the aggregate strike price will be allocated to the C component, 5% to the TAPA component, and 5% to the TAPB. The $20.17 cash component will settle through OCC's cash settlement system.
The C, TAPA, and TAPB components of the OCY option deliverable will settle through National Securities Clearing Corporation ("NSCC"); 123% of the aggregate strike price will be allocated to the C component, 5% to the TAPA component, and 5% to the TAPB. The $25.73 cash component will settle through OCC's cash settlement system.
The C, TAPA, and TAPB components of the DVZ option deliverable will settle through National Securities Clearing Corporation ("NSCC"); 90% of the aggregate strike price will be allocated to the C component, 5% to the TAPA component, and 5% to the TAPB. The $27.63 cash component will settle through OCC's cash settlement system.
PRICING
The underlying price of CLT/KYV/XVW options will be determined as follows:
CLT = C + .04(TAPA) + .08(TAPB) + .2017
The underlying price for OCY will be determined as follows:
OCY = 1.33(C) + .05(TAPA) +.11(TAPB) + .2573
1.33
The underlying price for DVZ will be determined as follows:
DVZ = .73(C) + .03(TAPA) + .06(TAPB) + .2763
CATEGORY: CONTRACT ADJUSTMENT
SUB-CATEGORY: ADJUST SETTLEMENT
For questions regarding this memo call 1-888-OPTIONS or e-mail
options@theocc.com.
