Privat och konfidentiellt Alternativa aktiemarknaden i Sverige AB Värdering av optioner BDO Corporate Finance november 2015
Alternativa aktiemarknaden i Sverige AB Värmdövägen 84, 4tr SE-131 54 Nacka Sverige Att: Till styrelsen av Alternativa aktiemarknaden i Sverige AB Värdering av optioner i Alternativa aktiemarknaden i Sverige AB På er begäran har vi, BDO Corporate Finance, anlitats för att bedöma priset på optioner med värderingsdatum 1 november 2015. Rapporten beskriver resultatet av vår värdebedömning samt de metoder, procedurer, resonemang och antaganden som ligger till grund för vårt ställningstagande. Vi har också angett de informationskällor som vi använt oss av i vårt arbete för att erhålla en objektiv och oberoende slutsats. Vi har inte genomfört en revision utan har förlitat oss på att den erhållna informationen är korrekt och kan därför inte ta något ansvar ifall dessa innehåller felaktigheter. Med vänliga hälsningar Henrik Markkula Director Corporate Finance Direct: +46 8 120 119 02 1 BDO Värdering AB, a av Swedish aktier registered och warranter company, Alternativa is a member aktiemarknaden of BDO International i Sverige AB Limited, a UK company limited by guarantee, and forms part of the international BDO network of independent member firms. BDO is the brand name for the BDO network and for each of the BDO Member Firms.
VÄRDERING AV WARRANTER BAKGRUND, FÖRUTSÄTTNINGAR OCH VOLATILITETSBERÄKNING Bakgrund Styrelsen i Alternativa aktiemarknaden i Sverige AB planerar att besluta om ett Teckningsoptionsprogram BDO Corporate Finance ( BDO ) har fått uppdraget att beräkna priset på utestående warranter med värderingsdatum 1 november 2015 givet specifika antaganden erhållna från styrelsen Parametrar för Black & Scholes modell för prissättning av aktier har erhållits från styrelsen i Alternativa aktiemarknaden i Sverige AB Förutsättningar Bolaget har 75.600 utestående aktier per den 1 november 2015 Det pågår en företrädesemission som stängs den 9 november 2015 och ifall den blir fulltecknad blir antalet aktier 80,640 st Antal optioner som programmet omfattar uppgår till 4,360 st Värdet på en aktie i Bolaget uppgår till 400 kr Teckningskursen uppgår till 608 kr Löptiden uppgår till 3 år Riskfria räntan har beräknats som en interpolation mellan en 2-årig och en 5-årig svensk statsobligation Volatilitetsberäkning Värdering av warranter kräver en estimering av volatiliteten i den underliggande tillgången för löptiden. Volatiliteten motsvarar standardavvikelsen för den förväntade framtida avkastningen på den underliggande tillgången. Även om Bolagets aktie är noterad kan volatiliteten inte anses rättvisande då handeln av aktien har historiskt varit låg och inte handlats kontinuerligt. Aktien har inte handlats sedan 21 september 2015. BDO har samlat in data avseende volatiliteten från bolag inom samma bransch. (För beskrivning av bolagen, se appendix). Median av 2-årig volatilitet i urvalsgruppen uppgår till 23,0% och median av 5-årig volatilitet uppgår till 25,1%. Den genomsnittliga volatiliteten uppgår till 24,0% vilket används i beräkningen. Bolagsnamn 2-år volatilitet 5-år volatilitet CME Group Inc. 21,4% 22,4% Deutsche Boerse AG 23,0% 25,1% Intercontinental Exchange, Inc. 21,4% 22,9% Nasdaq, Inc. 19,3% 23,5% Hong Kong Exchanges & Clearing Limited 32,2% 29,9% London Stock Exchange Group plc 23,1% 26,8% The Charles Schwab Corporation 26,5% 29,0% Median 23,0% 25,1% Medel 23,8% 25,7% Källa: S&P Capital IQ 2
VÄRDERING AV WARRANTER INPUT OCH BERÄKNING Input Underliggande värde per aktie för Alternativa aktiemarknaden i Sverige AB: 400 kr Lösenpris: 608 kr Volatilitet: 24,0% Löptid: 3 år Riskfri ränta: 0,01% Inga utdelningar är förväntade under löptiden Utspädningseffekt om 5,1% (efter antagande om fulltecknad företrädesemission) Värdering av optionen Optionens teoretiska pris uppgår till 17,98 kr/ st Optionens teoretiska pris efter utspädning uppgår till 17,25 kr/ st Utspädning Antal aktier före optionsprogrammet 80 640 Antal nya aktier (inklusive utestående konvertibler) 4 360 Utspädning 5,1% Parametrar M arknadsvärde per aktie Lösenpris Antagande 400,00 kr 608,00 kr Riskfri ränta 0,01% Volatilitet 24,0% Löptid år 3 Direktavkastning 0,0% Utspädning 5,1% Optionens teoretiska pris Optionens teoretiska pris inkl utspädning 17,98 kr 17,25 kr 3
Appendix 4
NOTERADE JÄMFÖRELSEOBJEKT Bolagsnamn CME Group Inc. Beskrivning CME Group Inc., through its subsidiaries, owns and operates derivatives marketplace for the trading of futures and options worldwide. It offers a range of products for trading and/or clearing across various asset classes, based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, and metals. The products include exchange-traded; and privately negotiated futures and options contracts and swaps. The company executes trades through its electronic trading platforms, open outcry, and privately negotiated transactions, as well as provides hosting, connectivity, and customer support for electronic trading through its co-location services. It also offers clearing and settlement services for exchange-traded contracts, as well as for cleared swaps; and regulatory reporting solutions for market participants through global repository services in the United States, the United Kingdom, and Canada. In addition, the company provides various market data services, including live quotes, delayed quotes, market reports, and historical data service. CME Group Inc. serves professional traders, financial institutions, institutional and individual investors, corporations, manufacturers, producers, governments, and central banks. The company was formerly known as Chicago Mercantile Exchange Holdings Inc. and changed its name to CME Group Inc. in July 2007. CME Group Inc. was founded in 1898 and is headquartered in Chicago, Illinois. Deutsche Börse Aktiengesellschaft operates as an exchange organization in Europe, the Americas, and the Asia-Pacific. Its activities cover securities and derivatives trading, clearing, settlement, and custody services; market data; and development and operation of electronic trading systems. The company s Eurex segment operates Eurex Exchange and International Securities Exchange electronic trading platforms; Eurex Repo over the counter (OTC) trading platform; electronic clearing architecture; and a central counterparty for on-and-off exchange derivatives and repo transactions. Its Xetra segment operates in the cash market through Xetra and Borse Frankfurt trading venues; operates Eurex bonds OTC trading platform; operates as a central counterparty for equities and bonds; and provides admission of securities to listing. The company s Clearstream segment offers post-trade infrastructure for bonds, equities, investment funds, and other asset classes, as well as custody services for securities from approximately 54 markets worldwide. Its Market Data + Services segment is involved in the distribution of capital market Deutsche Boerse AG information, technology, and infrastructure services, including real time trading and market signals, and market indices. Deutsche Börse Aktiengesellschaft is headquartered in Eschborn, Germany. Intercontinental Exchange, Inc. operates a network of regulated exchanges and clearing houses for financial and commodity markets in the United States, the United Kingdom, Continental Europe, Israel, Canada, and Singapore. The company operates marketplaces for trading and clearing a range of securities and derivatives contracts in various asset classes, including energy and agricultural commodities, interest rates, equities, equity derivatives, credit derivatives, bonds, and currencies. It primarily provides trade execution, listing, price discovery and transparency, trade processing and repositories, clearing, benchmark administration, and market data services. The company operates exchanges and marketplaces, such as ICE Futures Europe, ICE Futures U.S., ICE Futures Canada, ICE Endex, NYSE Amex Options, NYSE Arca, and ICE Futures Singapore, as well as over-the-counter markets for physical energy and credit default swaps, and central counterparty clearing houses. It serves financial institutions, corporations, manufacturers, utilities, commodity producers and consumers, institutional and individual investors, and Intercontinental Exchange Inc governmental bodies. The company was founded in 2000 and is headquartered in Atlanta, Georgia. Nasdaq, Inc. provides trading, clearing, exchange technology, regulatory, securities listing, information, and public company services worldwide. It operates in four segments: Market Services, Listing Services, Information Services, and Technology Solutions. The Market Services segment offers equity derivative trading and clearing; cash equity trading; fixed income, currency, and commodities trading and clearing; and access and broker services. This segment operates various exchanges and other marketplace facilities across various asset classes, including derivatives, commodities, cash equity, debt, structured products, and ETFs; and provides clearing, settlement, and central depository services, as well as offers transaction-based platforms. The Listing Services segment operates various listing platforms, which offers capital raising solutions for private and public companies. The Information Services segment sells and distributes historical and real-time quote and trade information to market participants and data distributors; and develops and licenses Nasdaq branded indexes, associated derivatives, and financial products, as well as provides custom calculation services for third-party clients. The Technology Solutions segment offers various corporate solutions in various areas, such as investor relations, public relations, multimedia solutions, and governance. This segment also provides technology solutions for trading, clearing, settlement, surveillance, and information dissemination; facility management and systems integration, and advisory services; and broker services, as well as enterprise governance, risk management, and compliance software and services. The company was formerly known as The NASDAQ OMX Group, Inc. and changed its name to Nasdaq, Inc. in September 2015. Nasdaq Inc Nasdaq, Inc. was founded in 1971 and is headquartered in New York, New York. London Stock Exchange Group plc engages in market infrastructure and capital markets business primarily in the United Kingdom, North America, Italy, France, and Sri Lanka. It operates through Capital Markets, Post Trade Services-CC&G & Monte Titoli, Post Trade Services-LCH.Clearnet, Information Services, Technology Services, and Other segments. The company operates a range of international equity, bond, and derivatives markets, including London Stock Exchange; Borsa Italiana; MTS, which is a Europe s fixed income market; and Turquoise, a pan-european equities multilateral trading facility. It offers capital formation for companies trading in London and Italy; central counterparty services covering a range of trading venues and asset classes, including cash equities, derivatives, energy products, agricultural derivatives, interbank collateralized money loans, shares, warrants, convertible bonds, and government bonds.; and pre-settlement, settlement, custody, and asset services for banks, brokers, and issuers. The company also operates a multi-national clearing house serving exchanges, platforms, and OTC markets; and a hosted platform for various matching, validation, and reconciliation needs. In addition, it provides market information services that consist of indices, market data and statistics, trading, real time market data, and news; education and training, events space, and studio hire services; and capital markets technology and services, front office trading solutions, technical services, infrastructure solutions and services, and market connectivity, as well as operates data centers and trading venues. The company also develops trading platforms and capital markets software for customers; and is involved investment management business. London Stock Exchange Group plc was founded London stock exchange in 1698 and is headquartered in London, the United Kingdom. Hong Kong Exchanges and Clearing Limited, through its subsidiaries, operates stock market and derivatives market in Hong Kong. It operates in five segments: Cash, Equity and Financial Derivatives, Commodities, Clearing, and Platform and Infrastructure. The Cash segment covers various equity products traded on the cash market platforms, sale of market data relating to the products, and other related activities. This segment also operates the two cash market platforms comprising the Main Board and the Growth Enterprise Market. The Equity and Financial Derivatives segment is involved in the provision and maintenance of trading platforms for a range of equity and financial derivative products, such as stock and equity index futures and options, derivative warrants, and CBBCs and warrants, as well as other related activities. The Commodities segment operates an exchange for the trading of base metals futures and options contracts in the United Kingdom. The Clearing segment operates clearing houses comprising HKSCC, SEOCH, HKCC, OTC Clear, and LME Clear that are responsible for clearing, settlement, and custodian activities of the stock exchange and the futures exchange; clearing over-the-counter derivatives contracts; and clearing and settlement of base metals futures and options contracts. The Platform and Infrastructure segment offers various services that provide users with access to the platform and infrastructure. The company serves participants and users of exchanges and clearing houses, including issuers and intermediaries, such as investment banks Hong Kong Exchanges & Clearing Limited or sponsors, securities and derivatives brokers, custodian banks, and information vendors. Hong Kong Exchanges and Clearing Limited is based in Central, Hong Kong. 5
OPTION THEORY General A warrant entitles the holder the right but not the obligation to buy an underlying asset at a predetermined price. The obligation is upon the issuer of the warrant who is forced to carry through the transaction when/if the holder of the warrant wants to exercise. The main difference between warrants and call options is that warrants are issued and guaranteed by the company, whereas options are exchange instruments and are not issued by the company. In order to acquire the right to buy an underlying asset in the future at a predetermined price you are usually required to pay a premium to the issuer, since the issuer takes a risk. The Black & Scholes model for valuation of options/warrants is the best-known model that is mostly used and which is also the one that BDO uses in order to value options/warrants. Parameters The size of the premium depends on a number of parameters. When calculating the premium according to Black & Scholes, the following parameters are taken into account: Market value of the underlying asset (share price): The market value of the underlying share refers to the current share price of the company Exercise price The exercise price refers to the price that the holder of the option/warrant is entitled to buy the underlying asset when the option/warrant expires. Risk-free rate of return The risk free rate of return generally refers to a government bond with the same time to expiration as the warrants. Time to expiration The time to expiration refers to the time between the acquisition of the option/warrant to the time when the option/warrant expires. Expected future volatility The volatility is expressed as the standard deviation in the expected return of the underlying asset. A common way to estimate future volatility is to calculate the historical volatility of the share and use that, with any appropriate adjustments for one-off events, as an approximation of future volatility. If the underlying asset refers to a share that is not quoted, one can choose to estimate the future volatility in the underlying asset by analyzing the historical volatility in a selection of similar companies. Dilution of the shares A call option gives the holder the right, but not the obligation, to acquire an already existing share, while a warrant gives the holder the right, but not the obligation, to acquire a newly issued share. In connection to the new share issue the amount of shares increases which implies that the total value of the company is distributed on more shares than earlier. Further, the total value of the company is increased by an amount equal to the amount paid for the new shares. This causes a dilution which affects the value of the warrant and thus the theoretical value calculated by the Black & Scholes formula has to be adjusted. Tax implications If the warrant/option is deemed to constitute a benefit to the employee the possible profit related to the warrant can be taxed as income from work and not as capital gains according to Swedish tax law. The value of the warrant therefore has to be valued at a fair market value. We advice you to engage a tax lawyer to review the complete terms of the option/warrant scheme as there also are other criteria that need to be fulfilled in order the warrant/option to be viewed as a security. 6
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