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15A.47

In relation to structured products over securities or assets which are to be settled wholly in cash:-

(1) where there is only one Valuation Point (see rule 15A.05(3)) the valuation method for determining the amount of the cash settlement on expiry or maturity shall be:-
(a) in the case of derivative warrants relating to securities listed on the Exchange, the average of the closing prices of the underlying securities (as derived from the Daily Quotation Sheet of the Exchange, subject to any adjustments as may be necessary to such closing prices to reflect any capitalisation, rights issue, distribution or the like) for the 5 business days prior to and up to and including the business day before the expiry or maturity date;
(b) in the case of other structured products or where the structured product relates to securities which are not listed on the Exchange or to other assets, such formula as shall be permitted by the Exchange from time to time; and
(2) Where there are two or more Valuation Points the valuation method for determining the amount of the cash settlement on expiry or maturity shall be such formula as shall be permitted by the Exchange;
(3) Where a structured product is exercised prior to maturity or expiry the valuation method for determining the cash settlement amount shall be:
(a) in the case of structured products relating to securities listed on the Exchange, the closing price of the underlying security (as derived from the Daily Quotation Sheet of the Exchange) on the day that the structured product is exercised, provided that the product is exercised before the earlier of the commencement of the morning trading session or any pre-opening session on that day. If the product is exercised after such time, the closing price (as derived from the Daily Quotation Sheet of the Exchange) on the day following the day that the structured product is exercised shall be used;
(b) in the case of other structured products such method as shall be permitted by the Exchange;
(4) the net cash settlement to be paid to the holder within such period following a valid exercise as shall be agreed to by the Exchange. An exercising holder shall not be required to deliver the exercise money at the time of exercise; and
(5) the terms and conditions must provide for automatic settlement on expiry or maturity (i.e., so that holders are not required to serve a notice of exercise) if the structured products are "in the money" at expiry or maturity.