Late to the party but Merril Edge did it like this:
They converted my shares at the 0.0665 rate to AAL (so I now own x amount of shares of AAL). The original amount of shares of AAMRQ are still in my account, and for margin purposes have a PPS of $8.50. I obviously cannot sell them.
So, let's say I had 1,000 shares of AAMRQ.
66 shares of AAL at current PPS
1,000 shares of AAMRQ at $8.50
I called them and they broke everything down for me. To add to that I get the 30 free shares a month and I'm loving me some Merril right now.