Template:Nutshell Equity Derivatives 6.6: Difference between revisions
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{{eqderivprov|6.6}}. '''{{eqderivprov|Consequences of Disrupted Days}}'''. If any {{eqderivprov|Valuation Date}} is a {{eqderivprov|Disrupted Day}}, then: | |||
:(a) '''{{eqderivprov|Index Transaction}} or {{eqderivprov|Share Transaction}}s''': It will be the next undisrupted {{eqderivprov|Scheduled Trading Day}} unless eight {{eqderivprov|Scheduled Trading Day}}s in a row are {{eqderivprov|Disrupted Day}}s, in which case: | :(a) '''{{eqderivprov|Index Transaction}} or {{eqderivprov|Share Transaction}}s''': It will be the next undisrupted {{eqderivprov|Scheduled Trading Day}} unless eight {{eqderivprov|Scheduled Trading Day}}s in a row are {{eqderivprov|Disrupted Day}}s, in which case: | ||
::(i) that eighth {{eqderivprov|Scheduled Trading Day}} will be the {{eqderivprov|Valuation Date}}, even though it is a {{eqderivprov|Disrupted Day}}, and | ::(i) that eighth {{eqderivprov|Scheduled Trading Day}} will be the {{eqderivprov|Valuation Date}}, even though it is a {{eqderivprov|Disrupted Day}}, and | ||
Latest revision as of 12:13, 13 May 2022
6.6. Consequences of Disrupted Days. If any Valuation Date is a Disrupted Day, then:
- (a) Index Transaction or Share Transactions: It will be the next undisrupted Scheduled Trading Day unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:
- (i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and
- (ii) the Calculation Agent must determine:
- (A) for an Index Transaction, the Index level at the Valuation Time on that day using the calculation method used for the Index before the disruption began, using the Exchange-traded price as of the Valuation Time on that eighth Scheduled Trading Day for each security in the Index (or, if that security is still disrupted, its good faith estimate of its value as of the Valuation Time on that day; and
- (B) for 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) Index Basket Transactions: the Valuation Date for each undisrupted Index will be the Scheduled Valuation Date, and the Valuation Date for each disrupted Index will be the next undisrupted Scheduled Trading Day for that Index, unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:
- (i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and
- (ii) the Calculation Agent must determine the Index level as of the Valuation Time on that eighth Scheduled Trading Day using the calculation method used for the Index before the disruption began, using the Exchange-traded price as of the Valuation Time on that eighth Scheduled Trading Day for each security in the Index (or, if that security is still disrupted, its good faith estimate of its value as of the Valuation Time on that day; and
- (c) Share Basket Transactions: the Valuation Date for each undisrupted Share will be the Scheduled Valuation Date, and the Valuation Date for each disrupted Share will be the next undisrupted Scheduled Trading Day, unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:
- (i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and
- (ii) the Calculation Agent must determine its good faith estimate of the value for that Share as of the Valuation Time on that eighth Scheduled Trading Day.