Template:M summ Equity Derivatives 6.6: Difference between revisions
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Amwelladmin (talk | contribs) Created page with "Note that single {{eqderivprov|Index Transactions}} the {{eqderivprov|Index}} is treated as a single unit which is or is not disrupted under the equity derivative definitions..." Tags: Mobile edit Mobile web edit |
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For single {{eqderivprov|Index Transaction}}s the {{eqderivprov|Index}} is treated as a single unit which is, or is not, disrupted under the {{eqdefs}} depending on whether securities comprising 20 per cent of more of the {{eqderivprov|Index}} are disrupted. | |||
In that case the whole index is treated as being disrupted and the {{eqderivprov|Valuation Date}} rolls forward for up to 8 {{eqderivprov|Scheduled Trading Day}}s. Had this been treated as a {{eqderivprov|Share Basket Transaction}} (i.e., of the {{eqderivprov|Shares}} comprising the {{eqderivprov|Index}}), then the {{eqderivprov|Shares}} would settle individually according to whether they were disrupted or not. same goes for an {{eqderivprov|Index Basket Transaction}} - i.e., those which are not themselves disrupted can settle on the scheduled {{eqderivprov|Valuation Date}}. | In that case the whole index is treated as being disrupted and the {{eqderivprov|Valuation Date}} rolls forward for up to 8 {{eqderivprov|Scheduled Trading Day}}s. Had this been treated as a {{eqderivprov|Share Basket Transaction}} (i.e., of the {{eqderivprov|Shares}} comprising the {{eqderivprov|Index}}), then the {{eqderivprov|Shares}} would settle individually according to whether they were disrupted or not. same goes for an {{eqderivprov|Index Basket Transaction}} - i.e., those which are not themselves disrupted can settle on the scheduled {{eqderivprov|Valuation Date}}. | ||
Latest revision as of 23:15, 26 March 2020
For single Index Transactions the Index is treated as a single unit which is, or is not, disrupted under the 2002 ISDA Equity Derivatives Definitions depending on whether securities comprising 20 per cent of more of the Index are disrupted.
In that case the whole index is treated as being disrupted and the Valuation Date rolls forward for up to 8 Scheduled Trading Days. Had this been treated as a Share Basket Transaction (i.e., of the Shares comprising the Index), then the Shares would settle individually according to whether they were disrupted or not. same goes for an Index Basket Transaction - i.e., those which are not themselves disrupted can settle on the scheduled Valuation Date.