U.S. Index Warrants & CBBCs

UBS only issues Category R US Index CBBCs. This means there might be residual value for the US Index CBBCs after Mandatory Call Events. The residual value is calculated as follows:

US Index Callable Bull Contract

The residual value per board lot is calculated by the issuer as follows:

(^Lowest Index Level – Strike level) x 1 Board Lot x USD exchange rate / Conversion Ratio (converted into the Settlement Currency at the Exchange Rate*)

US Index Callable Bear Contract

The residual value per board lot is calculated by the issuer as follows:

(Strike Level – ^Highest Index Price) x 1 Board Lot x USD exchange rate / Conversion Ratio (converted into the Settlement Currency at the Exchange Rate*)

*Exchange Rate is the exchange rate between USD and HKD at or about 4:00pm New York Time on the last Index Business Day of the valuation period of the Mandatory Call Event. This is determined by the issuer with reference to the median quote of the "USDHKD" exchange rate displayed on the Bloomberg page "BFIX" (expressed as the number of units of HKD per 1 unit of USD). If the exchange rate on this page is not available for any reason at such time on such date, the issuer shall determine the exchange rate in a commercially reasonable manner.

^The highest and the lowest Index level herein refer to the highest and lowest point of the Index between two sessions of trading hours. Similar to HSI CBBCs, this CBBC commences the observation period upon which the US Index CBBCs trigger the Mandatory Call Event. Taking a bear contract for example, the residual value will be calculated based on the formula with reference to the highest point of the Index in the trading session during which a Mandatory Call Event occurs and the following trading session. When the highest point is no less than the strike price, the residual value of such bear contract will be zero. As there is only one trading session per trading day for US stock market, the two sessions of trading hours refers to two consecutive US trading days when a Mandatory Call Event occurs.

9:30am to 4.00pm US Eastern Time is the US stock market trading hours. The observation period commences from the moment the Mandatory Call Event occurs, and up to the end of the following US stock market trading session, regardless of any HK or US public holidays in between . If Mandatory Call Event happens on a CBBC before listing date, for bulls (bears) investors should pay attention to the lowest (highest) point between the closing price of the index before the relevant listing date and the spot level during the US trading session immediately after the listing date.

Investors can hold onto a CBBC until expiry and before settlement date if there is no Mandatory Call Event on or before the last trading day. Similar to HSI CBBCs, US Index CBBCs are settled by cash. US Index CBBCs are settled by the settlement price of E-mini future of the respective US Indices. The expiry date is usually the third Friday of the month, which differs from the settlement date of HSI Futures. US Index warrants share the same settlement method which is calculated by the strike price and future Index settlement price. However, the foreign exchange rate will need to be factored in the calculation.

For US Index Callable Bull Contracts:

Cash settlement is calculated by the issuer as below:

(Closing Level– Strike Level) x 1 Board Lot x USD Exchange Rate / Conversion Ratio (converted into the Settlement Currency at the Exchange Rate*)

For US Index Callable Bear Contracts:

Cash settlement is calculated by the issuer as below:

(Strike Level – Closing Level) x 1 Board Lot x USD Exchange Rate / Conversion Ratio (converted into the Settlement Currency at the Exchange Rate*)

*Exchange Rate means the exchange rate between USD and HKD at or about 10:00am New York Time on the Valuation Date. As determined by the issuer with reference to the median quote of “USDHKD” exchange rate displayed on the Bloomberg page "BFIX". If the exchange rate on this page is not available for any reason at such time on such date, the issuer shall determine the exchange rate in a commercially reasonable manner.

If the US Index Futures settlement level is equal to or lower than the strike level of a bull contract or it’s no less than the strike level of the bear contract, the settlement price will be zero.