How to calculate the residual value of the CBBC after mandatory recall?

On any day during the period from the listing date of the CBBC to the trading day before the expiration, if the price of the relevant asset reaches the recovery price, a mandatory recovery mechanism will be activated and the CBBC will immediately terminate trading.

When the recovery price is touched:

Class R

Exercise price≠recovery price; according to the mandatory recovery time to the end of the next trading session, the lowest price (bull contract) or highest price (bear contract) of the relevant asset is used to calculate the settlement price of the CBBC; if the lowest price (bull contract) ) Or the highest price (bear contract) touches or exceeds the strike price, the CBBC may not have any residual value

The settlement method of bull contract


(Situation 1) The recovery price is not touched

(Situation 2) Reach the recovery price

Bull Contract Exercise Price

$125

$125

Bull Contract Recovery Price

$128

$128

Underlying stock settlement price

$132

-

Lowest price of underlying stock during pricing period

-

$126

Conversion ratio

100

100

(Case 1) The recovery price is not touched

Amount that investors can get back:

= (Underlying stock settlement price-Bull contract exercise price) / conversion ratio

=($132–$125)/ 100

= $0.07

(Situation 2) Reach the recovery price

Amount that investors can get back:

= (The lowest price of the underlying stock-the exercise price of the bull contract) / conversion ratio

=($126–$125)/ 100

= $0.01

*Generally speaking, the settlement price of the CBBC is the closing price of the relevant stock on the trading day before expiration; the settlement level of the index CBBC is the futures settlement level of the expiration month. Investors should refer to the relevant listing documents The specific details of the settlement price.

#The lowest price is the lowest spot price from the mandatory collection to the settlement of the next trading session. If it is recalled in the morning, the pricing will go to the trading session in the afternoon of the day; if it is collected in the afternoon, the pricing will go to the noontimeof the next trading day. In the worst case, assuming that the lowest price is equal to or lower than the bull contract strike price, investors will not be able to obtain any residual value.

Bear Contract (Type R)-Example


(Situation 1) The recovery price is not touched

(Situation 2) Reach the recovery price

Bear contract strike price

$135

$135

Bear contract price

$130

$130

Underlying stock settlement price

$128

-

The highest price of the underlying stock during the pricing period

-

$131

Conversion ratio

100

100

(Situation 1) The recovery price is not touched

Amount that investors can get back:

= (Bear Contract Strike Price-Underlying Stock Settlement Price) / Conversion Ratio

=($135–$128)/ 100

= $0.07

(Situation 2) Reach the recovery price

Amount that investors can get back:

= (Bear Contract Strike Price-Highest Underlying Stock Price) / Conversion Ratio

=($135–$131)/ 100

= $0.04

*Generally speaking, the settlement price of the CBBC is the closing price of the relevant stock on the trading day before expiration; the settlement level of the index CBBC is the futures settlement level of the expiration month. Investors should refer to the relevant listing documents The specific details of the settlement price.

The highest price is the highest spot price from the mandatory collection to the settlement of the next trading session. If it is recalled in the morning, the pricing will go to the trading session in the afternoon of the day; if it is collected in the afternoon, the pricing will go to the noontime of the next trading day. In the worst case, assuming that the highest price is equal to or higher than the strike price of the bear contract, investors will not be able to obtain any residual value.