Notice

AMP Limited (ASX Code: AMP) $0.10 Special Dividend – Adjustment Implication for ETOs

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Notice reference number: 1130.20.09
Date published: 17/09/20
Effective as of: 18/09/20
Last updated: 17/09/20

AMP Limited $0.10 Special Dividend – Adjustment implications for ETOs

ASX Notice No. 0974.20.08 dated 19 August 2020 described the adjustment method that applied to ETOs over AMP Limited (ASX Code: AMP) relating to the $0.10 special dividend with ex-dividend date of 18 September 2020.

Effective Date

The effective date of the adjustment is Friday, 18 September 2020, when the underlying security commences trading on an ex-dividend basis. 

ASX determined that the last cum-dividend VWAP based on trading on ASX markets on Thursday, 17 September 2020 was $1.5154

Standard Method of Adjustment

For an old contract size of 100 shares, the new contract size is adjusted, using TMC threshold truncation. 

Theoretical New Contract Size = Old Contract Size + (total special dividend paid per Old Contract Size)/(S – OD – SD)

Theoretical New Contract Size = 100 + ($0.10*100)/($VWAP-$0.10)

=107.0651 truncated to 107 where the difference of 0.0651 will be cash adjusted based on the below formula.

Strike Factor = Old Contract Size/Theoretical New Contract Size

Strike Factor = 100/107.0651

                   = 0.934011 

Cash Equalisation Adjustment Payments for Contract Size Roundings

The cash adjustment is calculated by taking the difference between the contract value of the option before and after the adjustment.  Variants to the formula apply for rights style adjustments and when the adjustment occurs on the day of the option’s expiry.

Cash adjustment = (BOP * BUV) – (AOP * AUV)

Where

BUV =Before (adjustment) Unit Value = BP * BU rounded to nearest cent

AUV =After (adjustment) Unit Value = AP * AU rounded to nearest cent

BU = units per lot (multiplier) before the adjustment (old traded entity)

AU = units per lot (multiplier) after the adjustment (old traded entity)

BP = for rights style, =SP/Adjustment Factor, for non-rights style=SP.

AP = for rights style, =SP, for non-rights style=SP * Adjustment Factor.

SP = settlement price of the option if not the options expiry day, otherwise the intrinsic price (underlying price-strike price for calls, strike-underlying price for puts) if on expiry date.  Refer Notes 1 and 2 below

BOP =pre-adjusted open position Refer Notes 1 and 3 below

AOP =post-adjusted open position Refer Notes 1 and 3 below

Note:

  1. Cash adjustments on expiry will apply to exercised positions only. 

  2. The intrinsic price used for exercised positions on expiry is based on the adjusted strike price for rights style adjustments and the pre-adjusted strike price for non-rights style adjustments.  Set negative intrinsic prices to zero i.e. if an out of the money is exercised, the intrinsic price and hence cash adjustment is zero. 

  3. Pre and post adjusted positions will be the same unless there is a position adjustment factor applied to the open position associated with the adjustment.  For rights style use the start of day position (i.e. exclude any UA trading activity), for non-rights style use the (end-of-day) position prior to the adjustment. 

  4. Cash adjustments will also apply to LEPO positions. 

  5. For short positions, the result of the cash adjustment formula should have its sign reversed (multiply by -1). For non-LEPO positions the truncation approach ensures that the seller (writer) is always debited and the buyer (taker) is credited.  Because the LEPO strike is usually returned to 1c after the adjustment, the holder of a short LEPO position may be credited and long position may be debited.

 

Refer to table below for adjusted strike and contract size 

OLD SIZE

NEW SIZE

OLD STRIKE (CENTS)

NEW STRIKE (CENTS)

Exercise

100

107

1

1

E

100

107

70

65

A

100

107

75

70

A

100

107

80

75

A

100

107

85

79

A

100

107

90

84

A

100

107

95

89

A

100

107

100

93

A

100

107

105

98

A

100

107

110

103

A

100

107

115

107

A

100

107

120

112

A

100

107

125

117

A

100

107

126

118

E

100

107

130

121

A

100

107

135

126

A

100

107

136

127

E

100

107

140

131

A

100

107

141

132

E

100

107

145

135

A

100

107

146

136

E

100

107

150

140

A

100

107

151

141

E

100

107

155

145

A

100

107

160

149

A

100

107

161

150

E

100

107

165

154

A

100

107

166

155

E

100

107

170

159

A

100

107

171

160

E

100

107

175

163

A

100

107

176

164

E

100

107

180

168

A

100

107

181

169

E

100

107

185

173

A

100

107

186

174

E

100

107

190

177

A

100

107

195

182

A

100

107

196

183

E

100

107

200

187

A

100

107

201

188

E

100

107

210

196

A

100

107

211

197

E

100

107

220

205

A

100

107

221

206

E

100

107

230

215

A

100

107

231

216

E

100

107

240

224

A

100

107

241

225

E

100

107

250

234

A

100

107

251

235

E

100

107

260

243

A

100

107

261

244

E

100

107

270

252

A

100

107

271

253

E

100

107

280

262

A

100

107

281

263

E

100

107

300

280

A

100

107

301

281

E

100

107

320

299

A

100

107

321

300

E

100

107

330

308

A

100

107

331

309

E

100

107

340

318

A

100

107

341

319

E

100

107

350

327

A

100

107

351

328

E

100

107

360

336

A

100

107

370

346

A

100

107

371

347

E

100

107

380

355

A

100

107

381

356

E

100

107

400

374

A

100

107

401

375

E

100

107

420

392

A

100

107

440

411

A

100

107

450

420

A

100

107

451

421

E

100

107

460

430

A

100

107

461

431

E

100

107

480

448

A

100

107

500

467

A

100

107

550

514

A

100

107

600

560

A

100

107

650

607

A

100

107

700

654

A

100

107

750

701

A

Need more information?

Issued by

Brendan Laird, Senior Manager Settlement Operations

Contact information

Eldon Hernando
1800 814 051
cad@asx.com.au

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