Template:Nutshell Equity Derivatives 11.2(c): Difference between revisions

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:{{eqderivprov|11.2(c)}} If “'''{{p|eq|Calculation Agent Adjustment (Share Transactions)|Calculation Agent Adjustment}}'''” is the {{eqderivprov|Method of Adjustment}} for a {{eqderivprov|Share Transaction}} or {{eqderivprov|Share Basket Transaction}} (or if none is specified) then following the {{eqderivprov|Issuer}}’s declaration of an {{eqderivprov|Potential Adjustment Event}}, the {{eqderivprov|Calculation Agent}} will determine whether the {{eqderivprov|Potential Adjustment Event}} will concentrate or dilute the value of the {{eqderivprov|Shares}}. If it will the Calculation Agent may  
:{{eqderivprov|11.2(c)}} If “'''{{p|eq|Calculation Agent Adjustment (Share Transactions)|Calculation Agent Adjustment}}'''” is the {{eqderivprov|Method of Adjustment}} for a {{eqderivprov|Share Transaction}} or {{eqderivprov|Share Basket Transaction}} (or if none is specified) then following the {{eqderivprov|Issuer}}’s declaration of an {{eqderivprov|Potential Adjustment Event}}, the {{eqderivprov|Calculation Agent}} will determine whether the {{eqderivprov|Potential Adjustment Event}} will concentrate or dilute the value of the {{eqderivprov|Shares}}. If it will, the Calculation Agent may:
::(i) adjust any of the {{eqderivprov|Initial Price}}, {{eqderivprov|Strike Price}}, {{eqderivprov|Equity Notional Amount}}, {{eqderivprov|Number of Shares}}, {{eqderivprov|Number of Options}}, {{eqderivprov|Option Entitlement}}, {{eqderivprov|Knock-in Price}}, {{eqderivprov|Knock-out Price}}, {{eqderivprov|Forward Price}}, {{eqderivprov|Forward Floor Price}}, or {{eqderivprov|Forward Cap Price}} and any other relevant variable under that {{eqderivprov|Transaction}} as the {{eqderivprov|Calculation Agent}} thinks necessary to account for that diluting or concentrative effect (but it will not adjust just for changes in volatility, expected dividends, stock loan rate or liquidity) and  
::(i) adjust any relevant variable under that {{eqderivprov|Transaction}} it considers necessary to account for that dilution or concentration (without adjusting just for changes in volatility, expected dividends, stock loan rate or liquidity) and  
::(ii) determine the effective dates of any adjustments.  
::(ii) determine the effective dates of any adjustments.  
:In doing so, the {{eqderivprov|Calculation Agent}} may refer to corresponding adjustments made by an options exchange to corresponding options. <br>
:The {{eqderivprov|Calculation Agent}} may refer to adjustments an {{eqderivprov|Options Exchange}} makes to corresponding options when doing so. <br>

Latest revision as of 18:52, 25 January 2020

11.2(c) If “Calculation Agent Adjustment” is the Method of Adjustment for a Share Transaction or Share Basket Transaction (or if none is specified) then following the Issuer’s declaration of an Potential Adjustment Event, the Calculation Agent will determine whether the Potential Adjustment Event will concentrate or dilute the value of the Shares. If it will, the Calculation Agent may:
(i) adjust any relevant variable under that Transaction it considers necessary to account for that dilution or concentration (without adjusting just for changes in volatility, expected dividends, stock loan rate or liquidity) and
(ii) determine the effective dates of any adjustments.
The Calculation Agent may refer to adjustments an Options Exchange makes to corresponding options when doing so.
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