Template:2002 ISDA Equity Derivatives Definitions 6.6: Difference between revisions

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Section {{eqderivprov|6.6}}. '''{{eqderivprov|Consequences of Disrupted Days}}'''. If any {{eqderivprov|Valuation Date}} is a {{eqderivprov|Disrupted Day}}, then:<br>
Section {{eqderivprov|6.6}}. '''{{eqderivprov|Consequences of Disrupted Days}}'''. If any {{eqderivprov|Valuation Date}} is a {{eqderivprov|Disrupted Day}}, then:
:(a) in the case of an {{eqderivprov|Index Transaction}} or {{eqderivprov|Share Transaction}}, the {{eqderivprov|Valuation Date}} shall be the <br>first succeeding {{eqderivprov|Scheduled Trading Day}} that is not a {{eqderivprov|Disrupted Day}}, unless each of the eight Scheduled <br>Trading Days immediately following the {{eqderivprov|Scheduled Valuation Date}} is a {{eqderivprov|Disrupted Day}}. In that case, (i) <br>that eighth {{eqderivprov|Scheduled Trading Day}} shall be deemed to be the<br> {{eqderivprov|Valuation Date}}, notwithstanding the fact <br>that such day is a {{eqderivprov|Disrupted Day}}, and (ii) the {{eqderivprov|Calculation Agent}} shall determine:
:(a) in the case of an {{eqderivprov|Index Transaction}} or {{eqderivprov|Share Transaction}}, the {{eqderivprov|Valuation Date}} shall be the first succeeding {{eqderivprov|Scheduled Trading Day}} that is not a {{eqderivprov|Disrupted Day}}, unless each of the eight Scheduled Trading Days immediately following the {{eqderivprov|Scheduled Valuation Date}} is a {{eqderivprov|Disrupted Day}}. In that case, (i) that eighth {{eqderivprov|Scheduled Trading Day}} shall be deemed to be the {{eqderivprov|Valuation Date}}, notwithstanding the fact that such day is a {{eqderivprov|Disrupted Day}}, and (ii) the {{eqderivprov|Calculation Agent}} shall determine:
::(A) in respect of an {{eqderivprov|Index Transaction}}, the level of the {{eqderivprov|Index}} as of the Valuation <br>Time on that eighth {{eqderivprov|Scheduled Trading Day}} in accordance with the formula for and method of <br>calculating the {{eqderivprov|Index}} last in effect prior to the occurrence of the first {{eqderivprov|Disrupted Day}} using the <br>{{eqderivprov|Exchange}} traded or quoted price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} <br>of each security comprised in the {{eqderivprov|Index}} (or, if an event giving rise to a {{eqderivprov|Disrupted Day}} has <br>occurred in respect of the relevant security on that eighth {{eqderivprov|Scheduled Trading Day}}, its good faith <br>estimate of the value for the relevant security as of the {{eqderivprov|Valuation Time}} on that eighth Scheduled <br>Trading Day); and<br>
::(A) in respect of an {{eqderivprov|Index Transaction}}, the level of the {{eqderivprov|Index}} as of the Valuation Time on that eighth {{eqderivprov|Scheduled Trading Day}} in accordance with the formula for and method of calculating the {{eqderivprov|Index}} last in effect prior to the occurrence of the first {{eqderivprov|Disrupted Day}} using the {{eqderivprov|Exchange}} traded or quoted price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} of each security comprised in the {{eqderivprov|Index}} (or, if an event giving rise to a {{eqderivprov|Disrupted Day}} has occurred in respect of the relevant security on that eighth {{eqderivprov|Scheduled Trading Day}}, its good faith estimate of the value for the relevant security as of the {{eqderivprov|Valuation Time}} on that eighth Scheduled Trading Day); and
::(B) in respect of a {{eqderivprov|Share Transaction}}, its good faith estimate of the value for the <br>{{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}}; <br>
::(B) in respect of a {{eqderivprov|Share Transaction}}, its good faith estimate of the value for the {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}};  
:(b) in the case of an {{eqderivprov|Index Basket Transaction}}, the {{eqderivprov|Valuation Date}} for each {{eqderivprov|Index}} not <br>affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the {{eqderivprov|Scheduled Valuation Date}}, and the Valuation <br>Date for each {{eqderivprov|Index}} affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the first succeeding <br>{{eqderivprov|Scheduled Trading Day}} that is not a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Index}}, unless each of the eight <br>{{eqderivprov|Scheduled Trading Days}} immediately following the {{eqderivprov|Scheduled Valuation Date}} is a {{eqderivprov|Disrupted Day}} <br>relating to that {{eqderivprov|Index}}. In that case, (i) that eighth {{eqderivprov|Scheduled Trading Day}} shall be deemed to be the{{eqderivprov|Valuation Date}} for the relevant {{eqderivprov|Index}}, notwithstanding the fact that such day is a {{eqderivprov|Disrupted Day}}, and <br>(ii) the {{eqderivprov|Calculation Agent}} shall determine the level of that {{eqderivprov|Index}} as of the {{eqderivprov|Valuation Time}} on that eighth <br>{{eqderivprov|Scheduled Trading Day}} in accordance with the formula for and method of calculating that {{eqderivprov|Index}} last in <br>effect prior to the occurrence of the first {{eqderivprov|Disrupted Day}} using the {{eqderivprov|Exchange}} traded or quoted price as of <br>the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} of each security comprised in that {{eqderivprov|Index}} (or, if <br>an event giving rise to a {{eqderivprov|Disrupted Day}} has occurred in respect of the relevant security on that eighth <br>{{eqderivprov|Scheduled Trading Day}}, its good faith estimate of the value for the relevant security as of the Valuation <br>Time on that eighth {{eqderivprov|Scheduled Trading Day}}); and<br>
:(b) in the case of an {{eqderivprov|Index Basket Transaction}}, the {{eqderivprov|Valuation Date}} for each {{eqderivprov|Index}} not affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the {{eqderivprov|Scheduled Valuation Date}}, and the Valuation Date for each {{eqderivprov|Index}} affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the first succeeding {{eqderivprov|Scheduled Trading Day}} that is not a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Index}}, unless each of the eight {{eqderivprov|Scheduled Trading Days}} immediately following the {{eqderivprov|Scheduled Valuation Date}} is a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Index}}. In that case, (i) that eighth {{eqderivprov|Scheduled Trading Day}} shall be deemed to be the {{eqderivprov|Valuation Date}} for the relevant {{eqderivprov|Index}}, notwithstanding the fact that such day is a {{eqderivprov|Disrupted Day}}, and (ii) the {{eqderivprov|Calculation Agent}} shall determine the level of that {{eqderivprov|Index}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} in accordance with the formula for and method of calculating that {{eqderivprov|Index}} last in effect prior to the occurrence of the first {{eqderivprov|Disrupted Day}} using the {{eqderivprov|Exchange}} traded or quoted price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} of each security comprised in that {{eqderivprov|Index}} (or, if an event giving rise to a {{eqderivprov|Disrupted Day}} has occurred in respect of the relevant security on that eighth {{eqderivprov|Scheduled Trading Day}}, its good faith estimate of the value for the relevant security as of the Valuation Time on that eighth {{eqderivprov|Scheduled Trading Day}}); and
:(c) in the case of a {{eqderivprov|Share Basket Transaction}}, the {{eqderivprov|Valuation Date}} for each {{eqderivprov|Share}} not affected <br>by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the {{eqderivprov|Scheduled Valuation Date}}, and the {{eqderivprov|Valuation Date}} for <br>each {{eqderivprov|Share}} affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the first succeeding Scheduled Trading <br>Day that is not a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Share}}, unless each of the eight {{eqderivprov|Scheduled Trading Days}} <br>immediately following the {{eqderivprov|Scheduled Valuation Date}} is a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Share}}. In that <br>
:(c) in the case of a {{eqderivprov|Share Basket Transaction}}, the {{eqderivprov|Valuation Date}} for each {{eqderivprov|Share}} not affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the {{eqderivprov|Scheduled Valuation Date}}, and the {{eqderivprov|Valuation Date}} for each {{eqderivprov|Share}} affected by the occurrence of a {{eqderivprov|Disrupted Day}} shall be the first succeeding Scheduled Trading Day that is not a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Share}}, unless each of the eight {{eqderivprov|Scheduled Trading Days}} immediately following the {{eqderivprov|Scheduled Valuation Date}} is a {{eqderivprov|Disrupted Day}} relating to that {{eqderivprov|Share}}. In that case, (i) that eighth {{eqderivprov|Scheduled Trading Day}} shall be deemed to be the {{eqderivprov|Valuation Date}} for the relevant {{eqderivprov|Share}}, notwithstanding the fact that such day is a {{eqderivprov|Disrupted Day}}, and (ii) the Calculation Agent shall determine its good faith estimate of the value for that {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}}. <br>
case, (i) that eighth {{eqderivprov|Scheduled Trading Day}} shall be deemed to be the {{eqderivprov|Valuation Date}} for the relevant <br>{{eqderivprov|Share}}, notwithstanding the fact that such day is a {{eqderivprov|Disrupted Day}}, and (ii) the Calculation Agent shall <br>determine its good faith estimate of the value for that {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth <br>{{eqderivprov|Scheduled Trading Day}}.

Latest revision as of 12:00, 10 May 2018

Section 6.6. Consequences of Disrupted Days. If any Valuation Date is a Disrupted Day, then:

(a) in the case of an Index Transaction or Share Transaction, the Valuation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the eight Scheduled Trading Days immediately following the Scheduled Valuation Date is a Disrupted Day. In that case, (i) that eighth Scheduled Trading Day shall be deemed to be the Valuation Date, notwithstanding the fact that such day is a Disrupted Day, and (ii) the Calculation Agent shall determine:
(A) in respect of an Index Transaction, the level of the Index as of the Valuation Time on that eighth Scheduled Trading Day in accordance with the formula for and method of calculating the Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on that eighth Scheduled Trading Day of each security comprised in the Index (or, if an event giving rise to a Disrupted Day has occurred in respect of the relevant security on that eighth Scheduled Trading Day, its good faith estimate of the value for the relevant security as of the Valuation Time on that eighth Scheduled Trading Day); and
(B) in respect of a Share Transaction, its good faith estimate of the value for the Share as of the Valuation Time on that eighth Scheduled Trading Day;
(b) in the case of an Index Basket Transaction, the Valuation Date for each Index not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date, and the Valuation Date for each Index affected by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to that Index, unless each of the eight Scheduled Trading Days immediately following the Scheduled Valuation Date is a Disrupted Day relating to that Index. In that case, (i) that eighth Scheduled Trading Day shall be deemed to be the Valuation Date for the relevant Index, notwithstanding the fact that such day is a Disrupted Day, and (ii) the Calculation Agent shall determine the level of that Index as of the Valuation Time on that eighth Scheduled Trading Day in accordance with the formula for and method of calculating that Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on that eighth Scheduled Trading Day of each security comprised in that Index (or, if an event giving rise to a Disrupted Day has occurred in respect of the relevant security on that eighth Scheduled Trading Day, its good faith estimate of the value for the relevant security as of the Valuation Time on that eighth Scheduled Trading Day); and
(c) in the case of a Share Basket Transaction, the Valuation Date for each Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date, and the Valuation Date for each Share affected by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to that Share, unless each of the eight Scheduled Trading Days immediately following the Scheduled Valuation Date is a Disrupted Day relating to that Share. In that case, (i) that eighth Scheduled Trading Day shall be deemed to be the Valuation Date for the relevant Share, notwithstanding the fact that such day is a Disrupted Day, and (ii) the Calculation Agent shall determine its good faith estimate of the value for that Share as of the Valuation Time on that eighth Scheduled Trading Day.
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