Template:2002 ISDA Equity Derivatives Definitions 12.7(b): Difference between revisions

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{{eqderivprov|12.7(b)}} In respect of an {{eqderivprov|Option Transaction}}, the amount to be paid by {{eqderivprov|Seller}} to {{eqderivprov|Buyer}} will be as agreed promptly (and in any event within five {{eqderivprov|Exchange Business Days}}) by the parties after the Merger Date, the {{eqderivprov|Tender Offer Date}}, the date of cancellation in respect of an {{eqderivprov|Index Adjustment Event}} or the date of occurrence of any event described in Section {{eqderivprov|12.6}}, as the case may be (each such date, the "Closing Date"). If the parties are unable to agree on the amount, then: <br>  
{{eqderivprov|12.7(b)}} In respect of an {{eqderivprov|Option Transaction}}, the amount to be paid by {{eqderivprov|Seller}} to {{eqderivprov|Buyer}} will be as agreed promptly (and in any event within five {{eqderivprov|Exchange Business Days}}) by the parties after the Merger Date, the {{eqderivprov|Tender Offer Date}}, the date of cancellation in respect of an {{eqderivprov|Index Adjustment Event}} or the date of occurrence of any event described in Section {{eqderivprov|12.6}}, as the case may be (each such date, the “{{eqderivprov|Closing Date}}”). If the parties are unable to agree on the amount, then: <br>  
:{{eqderivprov|12.7(b)(i)}} if "'''{{eqderivprov|Agreed Model}}'''" is specified in the related {{eqderivprov|Confirmation}} to be applicable to such {{eqderivprov|Transaction}}, then the amount will be determined by the {{eqderivprov|Calculation Agent}} as the sum of the {{eqderivprov|Unadjusted Value}} and the {{eqderivprov|Adjustment Value}}. For the avoidance of doubt, the {{eqderivprov|Buyer}} shall not be required to pay any amount to the {{eqderivprov|Seller}} as a result of the cancellation of the {{eqderivprov|Option Transaction}} other than any unpaid {{eqderivprov|Premium}} which {{eqderivprov|Buyer}} will be obliged to pay to {{eqderivprov|Seller}} as of the date that the amount determined in this Section {{eqderivprov|12.7(b)(i)}} is paid. <br>
:{{eqderivprov|12.7(b)(i)}} if '''{{eqderivprov|Agreed Model}}'''is specified in the related {{eqderivprov|Confirmation}} to be applicable to such {{eqderivprov|Transaction}}, then the amount will be determined by the {{eqderivprov|Calculation Agent}} as the sum of the {{eqderivprov|Unadjusted Value}} and the {{eqderivprov|Adjustment Value}}. For the avoidance of doubt, the {{eqderivprov|Buyer}} shall not be required to pay any amount to the {{eqderivprov|Seller}} as a result of the cancellation of the {{eqderivprov|Option Transaction}} other than any unpaid {{eqderivprov|Premium}} which {{eqderivprov|Buyer}} will be obliged to pay to {{eqderivprov|Seller}} as of the date that the amount determined in this Section {{eqderivprov|12.7(b)(i)}} is paid. <br>
::(A) "'''{{eqderivprov|Unadjusted Value}}'''" means an amount determined by the Calculation Agent as the value of the {{eqderivprov|Option Transaction}} (or portion thereof) on the {{eqderivprov|Closing Date}} based on: <br>
::(A) '''{{eqderivprov|Unadjusted Value}}'''means an amount determined by the Calculation Agent as the value of the {{eqderivprov|Option Transaction}} (or portion thereof) on the {{eqderivprov|Closing Date}} based on: <br>
:::(1) a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 {{eqderivprov|Exchange Business Days}} ending on and including the {{eqderivprov|Closing Date}}; <br>
:::(1) a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 {{eqderivprov|Exchange Business Days}} ending on and including the {{eqderivprov|Closing Date}}; <br>
:::(2) expected dividends for the time period from the {{eqderivprov|Closing Date}} until the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as, (a) amounts to have been paid in respect of gross ordinary cash dividends on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Closing Date}} or (b) in the event of an {{subst:Issuer}} published change to dividend policies on the relevant {{eqderivprov|Shares}} (as determined by the {{eqderivprov|Calculation Agent}}) prior to the {{eqderivprov|Closing Date}}, the expected dividends determined in accordance with such published change, in each case excluding {{eqderivprov|Extraordinary Dividends}}; <br>
:::(2) expected dividends for the time period from the {{eqderivprov|Closing Date}} until the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as, (a) amounts to have been paid in respect of gross ordinary cash dividends on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Closing Date}} or (b) in the event of an {{subst:Issuer}} published change to dividend policies on the relevant {{eqderivprov|Shares}} (as determined by the {{eqderivprov|Calculation Agent}}) prior to the {{eqderivprov|Closing Date}}, the expected dividends determined in accordance with such published change, in each case excluding {{eqderivprov|Extraordinary Dividends}}; <br>
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:::(4) a combined interest rate and stock loan rate as specified in the related {{eqderivprov|Confirmation}} for the period from, and including, the {{eqderivprov|Closing Date}} to, but excluding, the {{eqderivprov|Expiration Date}}; and <br>
:::(4) a combined interest rate and stock loan rate as specified in the related {{eqderivprov|Confirmation}} for the period from, and including, the {{eqderivprov|Closing Date}} to, but excluding, the {{eqderivprov|Expiration Date}}; and <br>
:::(5) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Closing Date}} to the {{eqderivprov|Expiration Date}}. <br>
:::(5) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Closing Date}} to the {{eqderivprov|Expiration Date}}. <br>
::(B) "'''{{eqderivprov|Adjustment Value}}'''" means the difference between the amounts determined pursuant to (B)(1) and (B)(2) below: <br>
::(B) '''{{eqderivprov|Adjustment Value}}'''means the difference between the amounts determined pursuant to (B)(1) and (B)(2) below: <br>
:::(1) a value of the {{eqderivprov|Option Transaction}} (or portion thereof) determined by the {{eqderivprov|Calculation Agent}} based on: <br>
:::(1) a value of the {{eqderivprov|Option Transaction}} (or portion thereof) determined by the {{eqderivprov|Calculation Agent}} based on: <br>
::::(a) a volatility equal to the average of the Implied Volatilities of the relevant {{isdaprov|Shares}} on each of the 15 Exchange Business Days ending on but excluding the {{eqderivprov|Announcement Date}}; <br>
::::(a) a volatility equal to the average of the Implied Volatilities of the relevant {{isdaprov|Shares}} on each of the 15 Exchange Business Days ending on but excluding the {{eqderivprov|Announcement Date}}; <br>
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::::(e) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Announcement Date}} to the {{eqderivprov|Expiration Date}}. <br>
::::(e) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Announcement Date}} to the {{eqderivprov|Expiration Date}}. <br>
:::(2) a value for the {{eqderivprov|Option Transaction}} (or portion thereof) based on the factors listed in (1)(a)-(e) above, except with a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 Exchange Business Days commencing on and including the {{eqderivprov|Announcement Date}}. <br>
:::(2) a value for the {{eqderivprov|Option Transaction}} (or portion thereof) based on the factors listed in (1)(a)-(e) above, except with a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 Exchange Business Days commencing on and including the {{eqderivprov|Announcement Date}}. <br>
:12.7(b)(ii) If "'''{{eqderivprov|Calculation Agent Determination}}'''" is specified in the related {{eqderivprov|Confirmation}} to be applicable to such {{eqderivprov|Transaction}}, then the amount will be determined by the {{eqderivprov|Calculation Agent}}, which determination may, but need not, be based on the factors and adjustments set forth in paragraph (i) above. <br>
:{{eqderivprov|12.7(b)(ii)}} If '''{{eqderivprov|Calculation Agent Determination}}'''is specified in the related {{eqderivprov|Confirmation}} to be applicable to such {{eqderivprov|Transaction}}, then the amount will be determined by the {{eqderivprov|Calculation Agent}}, which determination may, but need not, be based on the factors and adjustments set forth in paragraph (i) above. <br>

Latest revision as of 12:11, 13 September 2018

12.7(b) In respect of an Option Transaction, the amount to be paid by Seller to Buyer will be as agreed promptly (and in any event within five Exchange Business Days) by the parties after the Merger Date, the Tender Offer Date, the date of cancellation in respect of an Index Adjustment Event or the date of occurrence of any event described in Section 12.6, as the case may be (each such date, the “Closing Date”). If the parties are unable to agree on the amount, then:

12.7(b)(i) if “Agreed Model” is specified in the related Confirmation to be applicable to such Transaction, then the amount will be determined by the Calculation Agent as the sum of the Unadjusted Value and the Adjustment Value. For the avoidance of doubt, the Buyer shall not be required to pay any amount to the Seller as a result of the cancellation of the Option Transaction other than any unpaid Premium which Buyer will be obliged to pay to Seller as of the date that the amount determined in this Section 12.7(b)(i) is paid.
(A) “Unadjusted Value” means an amount determined by the Calculation Agent as the value of the Option Transaction (or portion thereof) on the Closing Date based on:
(1) a volatility equal to the average of the Implied Volatilities of the relevant Shares on each of the 15 Exchange Business Days ending on and including the Closing Date;
(2) expected dividends for the time period from the Closing Date until the Expiration Date based on, and payable on the same dates as, (a) amounts to have been paid in respect of gross ordinary cash dividends on the relevant Shares in the one-year period ending on the Closing Date or (b) in the event of an {{subst:Issuer}} published change to dividend policies on the relevant Shares (as determined by the Calculation Agent) prior to the Closing Date, the expected dividends determined in accordance with such published change, in each case excluding Extraordinary Dividends;
(3) a value ascribed to the relevant Shares as determined by the Calculation Agent and, if applicable, equal to the value of the consideration, if any, paid or delivered in respect of such Shares to holders of such Shares at the time of the Extraordinary Event;
(4) a combined interest rate and stock loan rate as specified in the related Confirmation for the period from, and including, the Closing Date to, but excluding, the Expiration Date; and
(5) a term of the Option Transaction from the Closing Date to the Expiration Date.
(B) “Adjustment Value” means the difference between the amounts determined pursuant to (B)(1) and (B)(2) below:
(1) a value of the Option Transaction (or portion thereof) determined by the Calculation Agent based on:
(a) a volatility equal to the average of the Implied Volatilities of the relevant Shares on each of the 15 Exchange Business Days ending on but excluding the Announcement Date;
(b) expected dividends for the time period from the Announcement Date until the Expiration Date based on, and payable on the same dates as, (x) amounts to have been paid in respect of gross ordinary cash dividends on the relevant Shares in the one-year period ending on the Announcement Date or (y) in the event of an Issuer published change to dividend policies on the relevant Shares (as determined by the Calculation Agent) prior to the Announcement Date, the expected dividends determined in accordance with such published change, in each case excluding Extraordinary Dividends;
(c) a value ascribed to the relevant Shares equal to the Settlement Price (assuming Cash Settlement were applicable) of the relevant Shares as of the Valuation Time (for which purpose the Valuation Date will be the Announcement Date);
(d) a combined interest rate and stock loan rate as specified in the related Confirmation for the period from, and including, the Announcement Date to, but excluding, the Expiration Date; and
(e) a term of the Option Transaction from the Announcement Date to the Expiration Date.
(2) a value for the Option Transaction (or portion thereof) based on the factors listed in (1)(a)-(e) above, except with a volatility equal to the average of the Implied Volatilities of the relevant Shares on each of the 15 Exchange Business Days commencing on and including the Announcement Date.
12.7(b)(ii) If “Calculation Agent Determination” is specified in the related Confirmation to be applicable to such Transaction, then the amount will be determined by the Calculation Agent, which determination may, but need not, be based on the factors and adjustments set forth in paragraph (i) above.