On 25 August 2022, South32 Limited (ASX Code: S32) announced a special dividend of USD $0.03 (fully franked) and an ordinary dividend of USD $0.14 (fully franked). The special dividend and ordinary dividend have the same record date of Friday, 16 September 2022.

Indicative timetable impacting S32 ETOs

Effective Date

All trading in S32 ETO contracts will be on an adjusted basis effective on the ex-date, Thursday, 15 September 2022

This standard method of adjustment will be processed on Wednesday, 14 September 2022 after market close. ASX will calculate and perform the following 3 adjustments on open positions.

Please Note: Participants are advised that the US dollar dividend will be converted to AUD using the average foreign exchange rate determined by ASXCL for the period of 5 September 2022 to the 14 September 2022 inclusive. This is to mimic the exchange rate realised by South32 on market during the period of 5 September 2022 to 21st September 2022 inclusive.

Exercise Restriction

An exercise restriction will apply for the adjustment date of Wednesday, 14 September 2022.

Contract Size

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

Where

S = VWAP of the last cum-dividend share price (expressed in dollars)

OD = amount of ordinary regular dividend per share, if any (OD = USD $0.14)

SD = amount of special dividend per share (SD = USD $0.03).

Cash Adjustment Payments made for Contract Size Rounding

The theoretical new contract size (TC) will be calculated to 4 decimal places and will be truncated using the TMC threshold so that if the theoretical new contract size falls between 100 and to up to but not including 102, the new contract size will be truncated to the standard 100. If the theoretical new contract size falls above 102, then the new contract size will be truncated down to the nearest whole number.

The difference, due to truncation, between the theoretical contract size and the adjusted (new) contract size, will be cash adjusted using the ETO cash equalization adjustment payment formula detailed in the final notice.

For cash equalisation payments for any contract size rounding, takers (buyer) will be credited and writers (sellers) will be debited. (Note, for share consolidations, it is possible for a LEPO taker (buyer) to be debited if the LEPO strike is adjusted back to 1 cent after initial rounding).

Exercise Price

New Exercise Price = Old Exercise Price x Old Contract Size/ Theoretical New Contract Size

The strike factor (OC/TC) for all contract sizes will be based on the result calculated for the standard 100 contract size.

The theoretical new contract size is calculated to the nearest four decimal points in the intermediate calculation for the new exercise price.

eg;

For 100 contract size:

New Size                = 100 + 100 x $0.03*FX Rate/(cumVWAP – $0.14*FX Rate – $0.03*FX Rate) subject to TMC threshold truncation

New Strike             = Old Strike x 100/Theoretical New Contract Size calculated to 4 decimal places.

                                  = Old Strike x strike factor, rounded to 6 decimal places.

OTC series

Any OTC series cleared by ASXCL under the ASX Equity OTC Clear service will be adjusted using the same formula as the ETOs as shown in this Notice.

To maintain anonymity, the adjusted OTC series details will not be published in the Notice but will be available to clearing participants the following morning via their own clearing systems.

ETO exercise restrictions in relation to an adjustment may occur during the period of 10 business days prior to and including expiry and will also apply to OTC series. However such exercise restrictions will not apply on expiry day of an OTC.

What do I need to do by when?

Specific Cover

As the contract size may be changing arrangements may need to be made for additional lodgement of underlying securities for any collateral denoted as specific cover.

After the completion of the adjustment, ASX will undertake a collateral review to identify specific cover accounts that do not have sufficient units lodged to cover their positions.  The identified accounts will have their specific cover reclassified as general cover and be required to meet margins on these positions.

A further notice will be issued after close of trading, Wednesday, 14 September 2022 which will outline the adjusted series.

Need more information?

Issued by

Greg Fitzpatrick, Senior Manager, Clearing Operations

Contact information

William Ward

clearing@asx.com.au

Disclaimer