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Settlement Calculation 1 - Index Call Warrant*
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Index Call Warrant =
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(Settlement Level - Strike Price)
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Conversion Ratio
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e.g. STI 2300SGAeCW060330
Key terms:
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Underlying
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Strait Times Index
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Warrant Type
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Call
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Issuer
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SG
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Strike Price
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2,300
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Maturity Date
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30 Mar, 06
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Conversion Ratio
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200
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The settlement level of this warrant will be the final settlement price of the Straits Times Index March 2006 Futures Contract on 30 Mar, 06. If the settlement level of Strait Time Index is 2,500, then the settlement calculation of STI 2300SGAeCW060330 will be:
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(2,500 - 2,300)
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200
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= SGD1.00 per warrant
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Settlement Calculation 2 - Index Put Warrant*
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Index Put Warrant =
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(Strike Price - Settlement Level)
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Conversion Ratio
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e.g. STI 2200SGAePW060330
Key terms:
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Underlying
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Strait Times Index
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Warrant Type
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Put
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Issuer
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SG
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Strike Price
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2,200
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Maturity Date
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30 Mar, 06
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Conversion Ratio
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200
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The settlement level of this warrant will be the final settlement price of the Straits Times Index March 2006 Futures Contract on 30 Mar, 06. If the settlement level of Strait Time Index is 1,900, then the settlement calculation of STI 2200SGAePW060330 will be:
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(2,200 - 1,900)
200
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=SGD1.50 per warrant
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Settlement Calculation 3 - Stock Call Warrant*
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Stock Call Warrant =
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(Settlement Level - Strike Price)
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Conversion Ratio
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e.g. CapitaLandSGAeCW060821
Key terms:
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Underlying
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CapitaLand
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Warrant Type
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Call
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Issuer
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SG
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Strike Price
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3.3
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Maturity Date
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21 Aug, 06
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Conversion Ratio
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1
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Settlement level of a stock warrant will be the arithmetic mean of the closing prices of an underlying stock (in this case: CapitaLand) for each of the five trading days immediately preceding the maturity date (21 Aug, 06).
Arithmetic mean of the closing prices of CapitalLand for these 5 trading days
will become the settlement level of CapitaLandSGAeCW060821
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Settlement Calculation 4 - Settlement Level of a Stock Call Warrant*
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Assuming the closing prices of CapitaLand from 14 - 18 Aug, 06 are:
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Date
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Closing Prices (SGD)
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14 Aug, 06
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3.34
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15 Aug, 06
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3.44
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16 Aug, 06
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3.5
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17 Aug, 06
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3.55
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18 Aug, 06
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3.56
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The settlement level of CapitaLandSGAeCW060821 will be:
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=
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SGD (3.34+3.44+3.5+3.55+3.56)
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5
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= SGD3.478
(Settlement Level - Strike Price)
Conversion Ratio
= SGD0.178 per warrant
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Settlement Calculation 5 - Stock Put Warrant*
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Stock Put Warrant =
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(Strike Price - Settlement Level)
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Conversion Ratio
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e.g. ABC put warrant
Key terms:
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Underlying
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ABC
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Warrant Type
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Put
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Strike Price
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2.5
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Maturity Date
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19 Jun, 06
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Conversion Ratio
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1
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Settlement level of a stock warrant will be the arithmetic mean of the closing prices of an underlying stock (in this case: ABC) for each of the five trading days immediately preceding the maturity date (19 Jun, 06).
Arithmetic mean of the closing prices of ABC for these 5 trading days
will become the settlement level of this warrant.
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Settlement Calculation 6 - Settlement Level of a Stock Put Warrant*
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Assume the closing prices of ABC from 12 - 16 Jun, 06 are:
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Date
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Closing Prices (SGD)
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12 Jun, 06
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2.3
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13 Jun, 06
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2.25
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14 Jun, 06
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2.2
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15 Jun, 06
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2.1
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16 Jun, 06
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2.1
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The settlement level of CapitaLandSGAeCW060821 will be:
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=
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SGD (2.3 + 2.25 + 2.2 + 2.1 + 2.1)
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5
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=SGD2.19
(Settlement Level - Strike Price)
Conversion Ratio
= SGD0.31 per warrant
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* Examples are for illustrative purposes only and in no way represent our recommendation.
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