Non-collateralized Nature of Structured Products
The structure of CBBC is simpler than the structure of warrant; its price is composed by its intrinsic value and financial cost. The intrinsic value of a CBBC is calculated as following:
Intrinsic value of Bull contract = (underlying price - strike price) /Conversion ratio
Intrinsic value of Bear contract = (strike price - underlying price) /Conversion ratio
For the financial cost, it is generally calculated as following (the calculation may differ for individual issuer):
Financial cost = (strike price / conversion ratio) X annual financial interest rate X (the residual days of investment / 365 days)
From the above, the price of CBBC is mainly influenced by several factors, including the changes in CBBC's underlying price, strike price, conversion ratios and also the relevant financial interest rate. Unlike warrants, time value affects less on the price of CBBC, and therefore the impact on its price is not significant. Theoretically speaking, CBBC is less influenced by the implied volatility neither.
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In respect of each issue of warrants and/or CBBCs issued by MBL, the terms and conditions of the warrants and/or CBBCs, together with financial and other information on the Issuer, are set out in the Base Listing Document and the relevant Supplemental Listing Document. Both the English version and Chinese translation of such documents are available in this internet site.
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The prices/values shown in this site in relation to different series of warrants and/or CBBCs are based on the prices notified to MCL as the last sale price of the relevant securities on the Hong Kong Exchanges and Clearing Limited ("HKEx") as at the time and date shown. MCL has not verified some of the information contained on this website and it should be verified separately before relying on it. Prices and values shown herein may vary throughout the course of, and between, HKEx trading days. The actual prices/values may be different from the date on which the material on this page was prepared. Different prices might apply to warrants in your portfolio, or which you wish to purchase, at the time that you view this material. To the extent permitted by law, neither MCL nor any of its related entities or persons associated with those entities gives any warranty of reliability, accuracy or completeness in relation to the information contained in this website nor is any responsibility accepted for any loss or damage arising out of, or in relation to, this material or any print-out thereof, whether such loss or damage is caused by negligence or otherwise.
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Non-collateralized Nature of Structured Products
Macquarie Capital Limited (CE No. AAC 534) ("MCL") provides the information in good faith and derived from sources believed to be reliable, MCL does not represent or warrant the completeness, reliability, accuracy, timeliness or fitness for any purpose of any of the material and it accepts no responsibility for the accuracy, completeness or timeliness of the information.
This internet site is produced by MCL, a licensed corporation with the Securities and Futures Commission of Hong Kong. MCL is the market maker and/or liquidity provider of warrants and/or Callable Bull/Bear Contracts (“CBBCs”) issued by Macquarie Bank Limited (ABN 46 008 583 542) (“MBL”) and/or exchange traded options, which relate to the securities of the listed corporation(s) referred to herein. The information on this internet site is directed and available to residents of Hong Kong only, and is not directed to residents of any U.S. persons or other countries. Any materials provided on this internet site, including any indicative terms are provided for information purposes only and do not constitute an offer, a solicitation of an offer, or any advice or recommendation to conclude or participate in any transaction, or provide any investment advice or service. The price of structured products may go down as well as up, and under certain circumstances investors may sustain some or a total loss of investment. An investor should read the full details of the warrants and CBBCs, including the risk factors, which are set out in the listing documents. An investor should make an appraisal of the risks involved in investing in these products and should consult their own legal, financial, tax, accounting and other professional advisors, to ensure that any decision made is suitable with regards to that investor's circumstances and financial position.
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Please also note that CBBCs have a mandatory call feature and may therefore be subject to early termination, upon which (i) investors in category N CBBCs will lose all of their investments in the CBBCs; and (ii) the residual value of category R CBBCs may be zero.
At times there may be no counterparty; the issuer and/or the designated liquidity provider, MCL, may be the only persons quoting prices for the warrants and/or CBBCs issued by MBL on the Hong Kong Exchanges and Clearing Limited. An investor should make an appraisal of the risks involved in investing in these products and should consult his own independent, qualified legal, financial, tax, accounting and other professional advisors, where necessary, to ensure that any decision made is suitable with regards to his own circumstances and financial position. Where past performance is referred to, it is not indicative of future performance.
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