VWAP for ASX placements under the additional 10% capacity
Securities issued under the additional 10% capacity must be in an existing quoted class of the eligible entity's equity securities, and issued for a cash consideration per security which is not less than 75% of the volume weighted average market price for securities in that class, measured over the 15 trading days on which trades in that class were recorded immediately before the anchor date (ASX Listing Rule 7.1A.3). We prepare that figure from trade-level data to the Listing Rule 19.12 definition and state the window, the markets counted, the trade types removed and the source alongside it.
How the rule works
Rule 7.1 limits placements of equity securities without security holder approval to 15% (ASX Guidance Note 21). An eligible entity is one which, as at the date of the relevant special resolution, is not included in the S&P/ASX300 Index and has a market capitalisation equal to or less than the prescribed amount, which is the maximum ASX determines for this purpose and was $300 million as at 1 December 2019 (ASX Listing Rule 19.12). Such an entity may ask its holders at an annual general meeting to approve by special resolution an additional 10% of capacity on top of that limit (ASX Listing Rules 7.1A and 7.1A.2). The additional capacity comes with a price condition, and the condition is a VWAP.
The window is set by the same rule. The price is calculated over the 15 trading days on which trades in that class were recorded immediately before either the date on which the price at which the securities are to be issued is agreed by the entity and the recipient, or, if the securities are not issued within 10 trading days of that date, the date on which the securities are issued (ASX Listing Rule 7.1A.3).
The count is of days on which trades were recorded, which is narrower than 15 trading days: a day on which the class did not trade is still a trading day under the Listing Rules, but it does not fill one of the 15 slots (ASX Listing Rule 19.12; ASX Listing Rule 7.1A.3). The expression volume weighted average market price is the Chapter 19 defined term, so the two-market trade set and the six excluded trade types apply to the figure (ASX Listing Rule 19.12).
The floor is 75% of the window VWAP (ASX Listing Rule 7.1A.3). Rounding runs one way only: if the window VWAP is $0.201 rather than $0.20, the floor is 0.75 x $0.201 = $0.15075, and an issue at $0.15 is $0.00075 below it.
An issue under rule 7.1A also carries a disclosure step. The entity is prompted to state the pricing date, the pricing period and the VWAP for securities in the relevant class over that period, and to identify the source of its VWAP calculation (ASX Guidance Note 21). None of those items states which markets the source counted or which trade types it removed, and those are the two questions on which two honest calculations of the same window diverge.
What the report includes
- The figure and the window
The volume weighted average market price for the security, with the first and last dates of the period it covers and the number of days in it.
- Methodology stated against the rule
The calculation is prepared to the ASX Listing Rule 19.12 definition of volume weighted average market price, from trade-level data rather than a daily price table.
- What the report sets out
A daily breakdown of volume, value and VWAP with the period low, high, opening and closing price, the complete trade-level data set behind the calculation, and a record of any excluded trades.
- The excluded trade types removed
Block trades, large portfolio trades, permitted trades during the pre-trading and post-trading hours periods, out of hours trades and exchange traded option exercises are taken out before the sum is run (ASX Listing Rule 19.12).
- Workings anyone can redo
Every row of the trade-level list carries its timestamp, price, volume and the running turnover, so anyone who disagrees with the figure can redo the arithmetic from the same data.
- PDF report and Excel spreadsheet
A written report plus a spreadsheet carrying the input data and the calculation steps.
Every regulatory statement on this page names the rule or guidance note it comes from, and every report states the window, the markets counted, the trade types removed and the source of the data. Reports are prepared by Riverstone Corporate Pty Ltd T/AS VWAP.com.au, ABN 42 883 208 403, West Leederville, Western Australia.
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Common questions
How many days go into a placement VWAP?
Fifteen. The price is calculated over the 15 trading days on which trades in that class were recorded immediately before the anchor date (ASX Listing Rule 7.1A.3). A day on which the class did not trade is still a trading day under the Listing Rules, but it does not fill one of the 15 slots, so for a thinly traded stock the window reaches back over more calendar than 15 days.
Which date does the 15 day window end on?
The default anchor is the date on which the price at which the securities are to be issued is agreed by the entity and the recipient of the securities. If the securities are not issued within 10 trading days of that date, the anchor becomes the date on which the securities are issued (ASX Listing Rule 7.1A.3). The rule measures the days immediately before the anchor, which on the ordinary reading leaves the anchor date itself out of the calculation, though the rule does not say so in terms.
What is the minimum issue price?
Seventy-five per cent of the window VWAP (ASX Listing Rule 7.1A.3). On a window VWAP of $0.20 the floor is 0.75 x $0.20 = $0.15, so the securities may be issued at $0.15 or above and not below. An issue at $0.15 exactly satisfies the rule, because the rule requires a price not less than 75%, not a price above it.
Does ASX ask where the VWAP came from?
The Appendix 3B lodged when an entity announces a proposed issue under rule 7.1A prompts the entity to send its ASX Listings Compliance adviser a completed work sheet stating the pricing date, the pricing period and the VWAP for securities in the relevant class over that period, and to identify the source of its VWAP calculation (ASX Guidance Note 21). On acceptable sources the guidance is not restrictive: a listed entity may use any recognised information service provider as the source of its VWAP calculation.
Can the floor move after the price is agreed?
Yes. A floor is provisional until the securities are issued. If completion slips past 10 trading days from the date the price was agreed, the window is recalculated against the issue date and the floor moves with it (ASX Listing Rule 7.1A.3).