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US Underlying Watch

    The market data (“Information”) contained herein: (i) includes the proprietary information of Chicago Mercantile Exchange Inc. or it’s licensors, as applicable ; (ii) may not be copied, sold or further disseminated except as specifically authorized; (iii) does not constitute investment advice; (iv) is provided solely for informational purposes; and (v) is not warranted to be complete, accurate or timely. You may not develop or create any derivative work or other product that uses, is based on, or is developed in connection with any of the Information (including, without limitation, proprietary data, settlement data or indices) available on this site.

    List of US DLCs

     

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    Issuer

    Code

    Name

    Type

    Leverage Factor

    Listing Date

    Last Trading Date

    Expiry Date

    Bid

    Ask

    Spread

    Spread(%)

    Last Price

    Last Price Change(%)

    Bid Change(%)2

    Ask Change(%)3

    Traded Value

    Underlying

    Underlying Price

    Underlying Price Change(%)

    ISIN

    Airbag %

    Airbag Trigger Level

    Intrinsic Closing
    Value4

    Sensitivity5

    Sensitivity(%)5

    Outstanding Qty6

    Outstanding
    Qty(%)6

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    FAQs on US DLCs
    How is the Daily Performance of the US DLCs calculated?

    US DLC performance on a US market close-to-close basis

    • The US DLCs are designed to provide a fixed leverage performance on the underlying US index or single stock daily performance on a US market close-to-close basis.
    • In assessing the performance of the US DLCs, investors should note that the daily fixed leverage (e.g. 3x, 5x, 7x) of the US DLCs is always with reference to the previous close of the respective US index or US single stock determined at 4:00PM ET during the US market session.
      • Note that during US daylight savings (Mid-March to Early-Nov), the close will be 4:00AM Singapore time while during non-US daylight savings (Early-Nov to Mid-March), the close will be at 5:00AM Singapore time.
    • The basic principle of the daily performance of the US DLCs is therefore as such:
      • if the US index or single stock rises by 2% on a US market close-to-close basis, the respective 3x Long DLC will rise by 6% and 3x Short DLC will fall by 6% accordingly on a US market close-to-close basis, before taking into account cost and fees.
      • If the US index or single stock falls by 2% on a US market close-to-close basis, the respective 3x Short DLC will rise by 6% and 3x Long DLC will fall by 6% accordingly on a US market close-to-close basis, before taking into account cost and fees.
    • The daily intrinsic close of each of the US DLCs will be determined based on the underlying US index or single stock performance at the US market close. Investors can check the latest intrinsic closing value of the US DLCs on this website.

    US DLC performance during SGX trading hours

    • Investors should note that the US DLCs can only be traded during SGX market hours (9:00AM to 5:00PM) and therefore different from the regular trading hours of the underlying US indices (constituent stocks) and US single stocks listed on the US exchanges.
    • During SGX market hours, the market price of the US DLC will be closely linked to
      • [For US indices DLCs] the relevant futures contracts over the US equity index which are trading during the SGX market hours;
      • [For US Stock DLCs] the derived spot price of the underlying US Stock traded on alternative quotation or trading systems during SGX market hours .Investors can reference such information from SG DLC website or from brokers in Singapore who offer relevant price data of US stock trading during Asian hours.
    • Investors should note that due to different trading hours if the US DLC and its underlying index or stock, the market price of the US DLC during SGX trading hours may deviate from the published levels of the US equity index (US stock) and/or the Air Bag Trigger Levels during the US trading hours on the same day.
    • Societe Generale, as the Designated Market Maker (DMM), will provide bid and offer quotations on the US DLCs based on the performance of the relevant futures contract over the US equity index (for US indices DLCs) or performance of the derived spot price of the US stock (for US stock DLCs) during SGX market hours so that investors can buy and sell the US DLCs.
    • Investors should note that the DMM may not provide quotations in certain circumstances as laid out in the relevant listing document of the US DLCs. For example, when trading of the underlying stock on any Related Exchange (as defined within the relevant listing document) is suspended, not available, or limited in a material way for any reason; or during SGX trading hours on any business day when it is a US public holiday.

     

    What are the Benefits of trading the US DLCs?
    Long-Short Instruments
    The US DLCs allow investors to take on both ‘Long’ and ‘Short’ exposure to key US indices and popular US stocks, enabling you to capitalise on opportunities in both rising and falling markets
    Leverage Exposure
    The US DLCs also magnifies your ‘Long’ and ‘Short’ exposure to the daily percentage performance of the US DLCs with a fixed leverage factor e.g. 3x, 5x, 7x.
    New Trading Window
    Investors can trade the US DLCs during SGX market hours 9:00AM to 5:00PM where Societe Generale as the Designated Market Maker will provide live tradable prices and intra-day liquidity, offering investors a new trading window during Asian hours when US markets are closed.
    Hedging Your Positions
    Investors can trade the Short DLC to hedge their existing US stock position against any short-term price correction and also enjoy the flexibility to trade the US stock DLCs in Singapore Dollar currency.
    Capital & Cost Efficiency
    Through the US stock DLCs, investor can gain exposure to the US stock performance using a fraction of the capital (and therefore incurring lower transaction costs  ) as compared to purchasing the underlying stock itself.

     

    How does the Air Bag mechanism apply to the US DLCs?
    • The Air Bag refers to the mechanism built in the Leverage Strategy or Leverage Inverse Strategy (if applicable) and which is designed to reduce the Leverage Strategy or Leverage Inverse Strategy (if applicable) exposure to the underlying US index or US stock during extreme market conditions.
    • The air bag will be triggered should the underlying US index or US stock move adversely against the direction of the DLC e.g. if the underlying US index or US stock rises beyond the predetermined airbag trigger levels, only the air bag on the Short DLC will be triggered but not the Long DLC. Air Bag will NOT be triggered on the DLC that is in line with the market direction,
    • Please refer to the table below Air Bag trigger levels for different product structures.
      Underlying Type Product Airbag Trigger
      Index 5x Daily Long
      7x Daily Long      		 -10%
      Index 5x Daily Short
      7x Daily Short      		 +10%
      Stock 3x Daily Long -20%
      Stock 3x Daily Short +20%
    • Investors should note that for the US DLCs, given there is no overlap between US trading hours and SGX trading hours, this means the Air Bag cannot be triggered during SGX trading hours. Even if the price of the DLCs were to move significantly (e.g. beyond the predetermined airbag trigger levels) during SGX trading hours, the Air Bag will never be triggered during SGX trading hours.
    • For avoidance of doubt, the Air Bag on the US Indices DLCs can only be triggered based on movements on the underlying US equity index, and not the futures contracts; the Air Bag on the US Stock DLCs can only be triggered based on movements of the underlying US stock during US trading hours (excluding the pre-market and post-market sessions), and not the derived spot price of the underlying US Stock traded on alternative quotation or trading systems during SGX market hours.
    • If the US index or stock reaches the corresponding Air Bag Trigger Level overnight (during US trading hours), and the Air Bag is triggered, then the exposure of the Leverage Strategy or Leverage Inverse Strategy (if applicable) will be reduced intra-day during US trading hours before a normal daily reset at US market close.

    Scenario example: 3x DLC on a US Stock – sharp intraday move during US trading hours

    If the Air Bag is triggered overnight (during US trading hours) when the US stock falls (for Long DLC) or rises (for Short DLC) by more than 20% (airbag trigger level for 3x DLC), but less than 33% within the Observation Period, then the DLC theoretical value and exposure will be reset when the Air Bag is triggered, and then reset again when the relevant US exchange closes.

    In this case, a US stock DLC’s theoretical closing price will be different from if there was no Air Bag mechanism in place (which is the same effect as an Air Bag triggered on DLCs with a Singapore or Hong Kong underlying asset, except that investors cannot trade the US stock DLC as this will occur during US trading hours). On the next SGX trading day, DLC performance will be based on the reference value determined at the close of the relevant US exchange.

    If the Air Bag is triggered overnight (during US trading hours) when the US stock falls (for Long DLC) or rises (for Short DLC) by approximately more than 33% within the observation period, the DLC will be permanently suspended on the next SGX trading day and will be delisted subsequently. Investors will lose the entire value of their investment.

    This example highlights that there is a specific risk that overnight, investors incur a significant or even entire loss of the amounts invested, and will not be able to exit their investments in the DLC at that time.

     

    Does the US withholding tax apply to the US Stocks DLCs?

    The Issuer has determined that the Long DLCs on the US Stocks fall under the scope of Section 871(m) of the U.S. Internal Revenue Code (“Section 871(m) Regulations”) which generally impose a 30% withholding tax. Therefore, in the event that U.S. source dividend payments or any dividend equivalents are made in respect of the underlying US Stock, the Issuer will apply the general tax rate of 30% to the payments subject to withholding under the Section 871(m) Regulations without regard to any applicable treaty. Therefore, in such cases, an investor’s individual tax situation will not be taken into account.

    Let’s look at the example below, to understand the dividend impact on the Long DLC on the US stocks which would have to take into account the applicable withholding tax of 30%.

    Long DLC Short DLC (Withholding Tax Not Applicable)
    • Closing price of underlying stock before dividend on last cum date: $100
    • Dividend amount of underlying stock : $0.20
    • Dividend amount of underlying stock after deducting the withholding tax: $0.14
    • Closing price of underlying stock after dividend on Ex date: $99.80
    • (in DLC) adjustment of underlying stock price on last cum date = 100 - 0.14 = 99.86
    • (in DLC) adjusted underlying stock performance = 99.80 / 99.86 – 1 = -0.06%
    • Expected 3x Long DLC performance on Ex date = -0.06% x 3 = -0.18% (before cost & fees).
    • (Above based on assumption that there is no other price movement on the underlying stock caused by market factors)
    • Closing price of underlying stock before dividend on last cum date: $100
    • Dividend amount of underlying stock : $0.20
    • Closing price of underlying stock after dividend on Ex date: $99.80
    • (in DLC) adjustment of underlying stock price on last cum date = 100 - 0.20 = 99.80
    • (in DLC) adjusted underlying stock performance = 99.80 / 99.80 - 1 = 0%
    • Expected 3x Short DLC performance on Ex date = unchanged vs previous close (before cost & fees)
    • (Above based on assumption that there is no other price movement on the underlying stock caused by market factors)

    The 30% withholding tax may be reduced by an applicable tax treaty, eligible for credit against other U.S. tax liabilities or refunded, provided that the beneficial owner claims a credit or refund from the United States Internal Revenue Service (“IRS”) in a timely manner, but the Issuer makes no assessment as to whether any such tax credits will be available. Investors should consult their tax adviser regarding the potential application of the Section 871(m) Regulations to their investment in the DLCs.
    Investors can refer to “Taxation”, “Risk Factors”, "Leverage Strategy Formula" and "Terms and Conditions" in the relevant listing documents of the DLCs for more details.

     

    How do corporate actions impact the US Stock DLCs?

    In respect of corporate adjustment events on the underlying stock (excluding ordinary cash distributions), trading in the respective DLCs may be suspended on the relevant ex-date of the underlying stock and trading in the DLCs will resume on the next immediate trading day on the SGX. Please note that trading in the DLCs on the SGX may be suspended for more than one trading day in certain circumstances.

    Please see the below illustrative example of the treatment on the US Stock DLC in the event of a corporate action adjustment, subject to changes as determined by the Issuer depending on the nature of the corporate action.

    Investors can refer to "Leverage Strategy Formula" and "Examples and illustrations of adjustments due to certain corporate actions" in the relevant listing documents of the DLCs for more details.

      US Stock Last Cum Date US Stock Ex-Date US Stock Ex-Date +
    1 Singapore BD
      SGX Session
    (9am-5pm)    		 US Market Session
    (Overnight)    		 SGX Session
    (9am-5pm)    		 US Market Session
    (Overnight)    		 SGX Session
    (9am-5pm)
    Trading Status of the
    US Stock DLC    		 Trading as per usual No Trading as
    SGX market is closed    		 Suspended Resume trading at
    SGX market open
    Adjustments of
    Corporate Action
    (this is a generic example where all figures are purely hypothetical)    		   US Stock close as of Last Cum Date = $100
    US Stock Long & Short DLC intrinsic close as of Last Cum Date = $1
    Adjustment Factor = 0.80
    (for DLC calc) US Stock close as of Last Cum Date after adjustment = $100 * 0.8 = $80     		US Stock close as of Ex-date = $82
    (for DLC calc) US Stock performance = 82/80 - 1 = +2.5%
    Expected US Stock 3x Long DLC performance = 2.5% x 3 = 7.5% and thus intrinsic close = $1.075 (before cost and fees)
    Expected US Stock 3x Short DLC performance = -2.5% x 3 = -7.5% and thus intrinsic close = $0.925 (before cost and fees)
    Note: should the Ex-date be a US business day, such date will count as an observation date for the US Stock DLCs for purpose of the leverage strategy calculation despite the DLC being suspended    		 US Stock DLC performance is with reference to US Stock Close as of Ex-date (i.e. $82) and Long/Short DLC intrinsic close as of Ex-date (i.e. $1.075 and $0.925 respectively)

     

    Reminder
    Terms not defined herein shall have the meanings ascribed thereto in the SLD of the relevant Certificate. Investors should ensure that they understand the nature of the Certificates and carefully study the risk factors set out in the BLD and the relevant SLD. Full disclaimer here.