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I am wondering if a bank that sells derivatives (Warrants, Turbos ...) can "cancel" their products after a very bad event.

Example :

Today, I buy 5000 PUT warrants.

Then tomorrow, a market crash happens, so my warrants has much more value ! But this scenario is not good for the bank.

Can the issuer of my warrants artificially change the value of my warrants (to the value of yesterday, per example) because they don't want to lose too much money ?

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As @D Stanley points out, a warrant (as opposed to a market-traded stock option) is contracted with only with an issuer. A bank, presumably an investment bank or broker as a third-party, under almost any circumstance cannot alter that contract.

Can an issuer arbitrarily and unilaterally change terms of a warrant? Unless the contract stipulates so, doing so would likely be a breach of contract. There are rare exceptions such as a court-supervised insolvency where such warrants, if not saleable or exercisable before, would likely be worthless regardless.

Can an investment bank cancel a derivative product it sells? Yes, and their synthetic derivative products often have escape clauses that may allow them to close out a contract early, usually if they cannot adequately hedge the instrument.

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No - a warrant is, in effect, a contract between you and the issuer. If the issuer could just change the terms so that they're in their favor, then the option would have zero value. Any change to the terms of the contract would be fraudulent.

The worst case for you is the remote chance that the bank defaults (goes bankrupt) because of the "very bad event" (or because of other events as well) but that should be an extremely rare occurrence.

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