Single share calls and puts at expiry

• Last trading day

  Warrants stop trading in the market the 4th trading days before their expiry date. If you do not sell your warrant holding by this date, the issuer will automatically exercise the warrant if it has any remaining value at expiry.
  
  You can look up a warrant’s last trading day via the Warrant Terms page.

  Warrants Approaching Expiry

  Mon	Tue	Wed	Thur	Fri	Sat	Sun
  01	02	03 VD1	04 VD2 Last day of trading	05 VD3 Warrants stops trading	06	07
  08 VD4	09 VD5	10 Expiry date	11 Delisting of warrant	12	13	14

  *VD = Valuation Date

• Call expiry formula

  All structured warrants listed in the Hong Kong Exchange are currently cash settled; investors do not take delivery of the physical shares. Instead, holders of warrants with value at expiry shall receive a cash settlement amount within seven business days from the expiry date.

  To calculate the cash settlement amount of single share warrants, a settlement price of the underlying share is used. This settlement price can be calculated using one of the following methods:

  1. The 5-day volume weighted average price (VWAP) of the underlying share prior to the expiry date; or

  2. The average closing price (AVP) of the underlying share for the 5 market days prior to the expiry date; or

  3. The closing price of the underlying share on the market day prior to the expiry date.

  Macquarie uses the AVP method in determining the Settlement Price for single share warrants at expiry.

  Formula to calculate value of call warrant at expiry

  Value at Expiry =

  (Settlement Price - Strike)

  Conversion Ratio

• Call example

  Mon	Tue	Wed	Thur	Fri	Sat	Sun
  01	02	03 VD1	04 VD2 Last day of training	05 VD3 Warrants stops trading	06	07
  08 VD4	09 VD5	10 Expiry date	11 Delisting of warrant	12	13	14

  *VD = Valuation Date

  Strike of ABC Call Warrant:

  $1.00

  Strike of ABC Call Warrant:

  2 warrants per share

  Expiry Date of ABC Call Warrant:

  10 September

  Closing Price of ABC on VD1:

  $1.40

  Closing Price of ABC on VD2:

  $1.41

  Closing Price of ABC on VD3:

  $1.48

  Closing Price of ABC on VD4:

  $1.43

  Closing Price of ABC on VD5:

  $1.43

  Settlement Price (average closing price for the 5VDs):

  $1.43

  Since the settlement price of ABC share is higher than the Strike of the call warrant, the warrant expires 'in-the-money'.

  Cash Settlement Amount:

  ($1.43 - $1.00)

  10

  = $0.043 per warrant

  If the settlement price of ABC share was the same as the Strike of $1.00 or less, the warrant expires out-of-the-money and there will be no cash settlement.

• Put expiry formula

  The settlement value for put warrant over single share is calculated by subtracting the settlement price from the strike price, divided by conversion ratio. The settlement price is average closing price (AVP) of the underlying share for the 5 market days prior to the expiry date.

  Formula to calculate value of put warrant at expiry

  Value at Expiry =

  (Strike - Settlement Price)

  Conversion Ratio

• Put example

  Mon	Tue	Wed	Thur	Fri	Sat	Sun
  01	02	03 VD1	04 VD2	05 VD3 Last day of training	06	07
  08 VD4 Warrants stops trading	09 VD5	10 Expiry date	11 Delisting of warrant	12	13	14

  *VD = Valuation Date

  Strike of ABC Put Warrant:

  $2.00

  Strike of ABC Put Warrant:

  3 warrants per share

  Expiry Date of ABC Put Warrant:

  10 August

  Closing Price of ABC on VD1:

  $1.70

  Closing Price of ABC on VD2:

  $1.74

  Closing Price of ABC on VD3:

  $1.70

  Closing Price of ABC on VD4:

  $1.68

  Closing Price of ABC on VD5:

  $1.68

  Settlement Price(average closing price for the 5VDs):

  $1.70

  Since the settlement price of ABC share is below the strike of the put warrant, the warrant expires 'in-the-money'.

  Cash Settlement Amount:

  ($2.00 - $1.70)

  1

  = $0.30 per warrant

  If the settlement price of ABC share was the same as the strike price of $2.00 or higher, the warrant expires out-of-the-money and there will be no cash settlement.