The companies RHI AG and Magnesita Refratários S.A. have decided to merge.
The company RHI AG was merged 1:1 into the RHI-Magnesita N.V., which is listed in the premium segment on the Main Market of the London Stock Exchange. The first trading day of the share was on October, 27th 2017. The new share RHI-Magnesita N.V. (ISIN: NL0012650360), which replaced the old share RHI AG (ISIN: AT0000676903), will not be available for settlement via Clearstream.
As a consequence of the merger, the shares of the RHI AG have been delisted from the Vienna Stock Exchange as of October 25th, 2017. Consequently, the stock options on RHI AG shares admitted to trading at the Eurex Deutschland and Eurex Zürich (collectively, the Eurex Exchanges) cannot be settled.
Furthermore, the shares of the new entity, RHI-Magnesita N.V., admitted to trading at the LSE, cannot be delivered via Clearstream, only via the CREST settlement link. Due to the aforementioned, Sec. 15 of the Exchange Rules of Eurex Deutschland and Eurex Zürich will apply with regard to the respective options contracts on RHI AG at Eurex Deutschland and Eurex Zürich. The Management Board shall determine the
price of the underlying relevant for cash settlement. The settlement of the contracts shall take place according to the fair value method.
The Futures contract (RHIF) will not be adjusted, as no open positions exist. Admission to trading was already withdrawn with effect as of 16 October 2017.
For further information regarding this transaction please refer to the website of the company at www.rhi-ag.com. and www.magnesita.com.
This information describes the potential effects this transaction will have on the above mentioned contracts.
Procedure
Fair Value Method
The Eurex options contract on RHI AG will be settled at the theoretical fair value. The following parameters will be defined for calculation of the theoretical fair value:
Options
Implied Volatility
For each series an implied volatility is defined. This volatility is calculated on the basis of the average implied volatility of the daily settlement prices on the ten exchange days preceding the announcement of the offer (31 July 2017 to 11 August 2017). The same volatility is used for Call and Put.
Expiration Year Expiration Month Strike Price Implied Volatility
2017 December 2600 28,39
2017 December 3400 23,27
2017 December 3600 22,97
2017 December 2800 26,80
2017 December 3200 24,16
2018 March 3200 24,56
2018 March 4000 23,15 For calculation of the fair value implied interest rates will be used. Existing positions in Options on RHI AG (RHI) as of 01. November 2017 will be cash-settled using the Fair-Value Method. Basis for the calculation of the fair values will be the closing price of the share RHI AG on the Vienna Stock Exchange on the last trading day of the share (25. October 2017) to the amount of 35.90 EUR.
Settlement of the options contract will take place based on the settlement prices of 01 November 2017. On 01 November 2017, all participants with open positions will receive a FAX containing an overview of their respective open positions. Booking of the cash amount will take place on 01 November 2017 with value date 02 November 2017. All positions will be transferred and booked out on 01 November 2017.
Trading in RHI-options was already discontinued after close of trading on 25 October 2017.
The final settlement values are as following:
Contract Settlement Price Implied Volatility
C RHI DEC17 2600 9,90 28,39
C RHI DEC17 3400 2,31 23,27
C RHI DEC17 3600 1,09 22,97
C RHI MAR18 3200 4,52 24,56
C RHI MAR18 4000 0,67 23,15
P RHI DEC17 2600 0,01 28,39
P RHI DEC17 2800 0,01 26,80
P RHI DEC17 3200 0,11 24,16
P RHI DEC17 3400 0,43 23,27
P RHI MAR18 3200 0,65 24,56 | 