With the proliferation of Special Purpose Acquisition Companies (SPACs), we have seen many warrants issued as part of their unit financing. It is not uncommon for SPAC issued warrants to have a built-in ‘acceleration clause’ that allows the company to reduce the time to expiry in the event the share price of the company exceeds a threshold for a specified number of days. Acceleration clauses create dependency on future share prices which in turn add a layer of complexity in valuation.
Join Andreana Yang (Partner – Complex Financial Instruments Valuation, MNP LLP) as she explores the use of Monte Carlo simulation in the valuation of these warrants, and other more simplistic and readily available techniques which can help you gauge the value of these warrants.
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