Rate of Return - Equity Derivatives Provision: Difference between revisions

Revision as of 17:05, 4 September 2020

2002 ISDA Equity Derivatives Definitions
A Jolly Contrarian owner’s manual™

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Resources About the Equity Derivatives Definitions \| (full wikitext) \| (nutshell wikitext) \| Equity v credit derivatives showdown Hot topics Synthetic Prime Brokerage Anatomy \| The Triple Cocktail \| Cancellation and Payment \| Calculation Agent TOC \| 1 General Definitions \| 2 Option Transactions \| 3 Exercise of Options \| 4 Forward Transactions \| 5 Equity Swap Transactions \| 6 Valuation \| 7 Settlement \| 8 Cash Settlement \| 9 Physical Settlement \| 10 Dividends \| 11 Adjustments and Modifications \| 12 Extraordinary Events · 12.8 Cancellation Amount · 12.9 Additional Disruption Events · 12.9 List of ADEs · 12.9(b) Consequences of ADEs \| 13 Miscellaneous Index: Click ᐅ to expand: Equity Derivatives - Premium Synthetic Prime Brokerage

Section 5.7 in a Nutshell™

Use at your own risk, campers!

5.7. “Rate of Return” on any Cash Settlement Payment Date means the rate the Calculation Agent determines for the Valuation Date using the formula: ((Final Price - Initial Price)/Initial Price) Multiplier (if any)* view template

Full text of Section 5.7

Section 5.7. Rate of Return. “Rate of Return” means, in respect of each Cash Settlement Payment Date, a rate determined by the Calculation Agent as of the relevant Valuation Date to which the Cash Settlement Payment Date relates on a formula basis as follows: ((Final Price - Initial Price)/Initial Price) Multiplier (if any)* view template

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-{{eqderivanat|5.7}}
+{{manual|DEQ|2002|5.7|Section||short}}
-Used in calculating the {{eqderivprov|Equity Amount}}, which is the amount you pay our on a {{eqderivprov|Cash Settlement Payment Date}}.
-Difficult to see how this {{eqderivprov|Rate of Return}} could be negative, though that is contemplated in the definition of {{eqderivprov|Price Return}}.