Non-collateralized Nature of Structured Products
The price change in CBBC is mainly influenced by two factors; one of them is the gearing ratio. The gearing ratio of CBBC means every 1% change in the underlying asset will, in theory, bring a change in the percentage of the CBBC price. The calculation is as following:
Gearing ratio of CBBC = underlying price / (CBBC price x conversion ratio)
Please note that the gearing ratio of CBBC varies and it will rise or fall according to the underlying price. Assume other factors remain constant, generally speaking, when the underlying asset price is close to the call price, the greater the gearing ratio of the CBBC will be and the chance of the CBBC being called will be higher.
The second factor is the conversion ratio. The conversion ratio of CBBC reflects its sensitivity to the price change of its underlying, which shows the change of the CBBC when the underlying changes its price. The level change in underlying asset needed for every price change in CBBC is calculated as following:
Necessary change = the lowest bid-ask spreadx conversion ratio
Take HSI CBBC as an example; suppose the conversion ratio of this CBBC is 10,000:1, its price is lower than HK$0.25, which means the smallest unit of changes is $0.001. According to the above formula, if the HSI futures index changes by 10, the relevant price of CBBC will have a $0.001 rise or drop.
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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.
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