Securitised Derivatives Requirements

In case the asset underlying the Securitised Derivatives (i.e. Covered Warrants and Certificates) is a share, the issuer of the Securitised Derivatives  must be other than the issuer of the underlying asset.

Covered Warrants and Certificates based on the following underlying assets may be admitted to listing:

• highly liquid Italian or foreign shares that are traded in a regulated market;
• highly liquid government securities that are traded in a regulated market;
• official interest rates or interest rates widely used in capital markets;
• foreign currencies whose exchange rate is recorded continuously by competent authorities;
• goods for which there is a reference market characterised by the availability of continuous and updated information on the prices of the assets traded;
• well known indexes or baskets of the assets that are marked by transparent methods of calculation and dissemination 

Borsa Italiana reserves the right to admit to listing, at the request of the issuer, covered warrants or certificates based on assets other than those referred to above, provided that the conditions established by the Rules of the Markets of Borsa Italiana are satisfied.

Settlement of covered warrants and certificates whose underlying assets are shares or government securities that are traded in regulated markets managed by Borsa Italiana may consist in the physical delivery of the underlying asset or in a cash payment. For all the other categories of underlying assets, only cash settlement shall be allowed. 

The technical characteristics for admission to listing are the following:

• exclusively for Covered Warrants, maturity cannot be less than 3 months if a derivative product on the same underlying asset has been introduced by Borsa Italiana. Furthermore maturity cannot be more than 5 years. However Borsa Italiana may admit covered warrants with a maturity more than 5 years in response to a reasoned request from the issuer provided that sufficient information is available for the determination of the instrument's price;  
• for all securitised derivatives except structured/exotic covered warrants and investment certificates incorporating accessory options, parity must be equal to 0.1 if the underlying asset is an Italian share and equal to 0.0001 if the underlying asset is the FTSE/MIB or other indices managed by Borsa Italiana or by a company with which Borsa Italiana has concluded agreements (for all other types of underlying the parity is decided by the issuer)
• automatic exercise at maturity if the Covered Warrants and Certificates are in the money

If the underlying asset is a share, the issuer must prove to Borsa Italiana that the issuer of the underlying asset has been advised of the issue, and moreover provide at regulatory level for the carrying out of adjustments on occasions of extraordinary events that tend to neutralise the distorting effects of the event.

The settlement price must be an expression of a significant quantity of volume traded on the underlying asset. In particular, it must be equal to:

• the price of reference of the preceding day to that of maturity for Securitised Derivatives with underlying Italian shares;
• at the opening price of the securities that constitute it, in the case in which the Securitised Derivatives have the MIB30 as the underlying.