Template:Nutshell Equity Derivatives 5.9: Difference between revisions

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Section {{eqderivprov|5.9}}. '''{{eqderivprov|Final Price}}'''. “'''{{eqderivprov|Final Price}}'''” means, for each {{eqderivprov|Valuation Date}}
{{eqderivprov|5.9}}. “'''{{eqderivprov|Final Price}}'''” means, for each {{eqderivprov|Valuation Date}}:
as determined by the {{eqderivprov|Calculation Agent}}:
:{{eqderivprov|5.9(a)}} '''{{eqderivprov|Index Swap Transaction}}s''': the {{eqderivprov|Index}} level at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}};  
:(a) '''{{eqderivprov|Index Swap Transaction}}s''': the {{eqderivprov|Index}} level as of the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}};  
:{{eqderivprov|5.9(b)}} '''{{eqderivprov|Share Swap Transaction}}s''': the price per {{eqderivprov|Share}} at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} or, if no means for determining the {{eqderivprov|Final Price}} are provided in the {{eqderivprov|Confirmation}}:  
:(b) '''{{eqderivprov|Share Swap Transaction}}s''': the price per {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on the Valuation Date or, if no means for determining the {{eqderivprov|Final Price}} are provided in the {{eqderivprov|Confirmation}}:  
::(i) For “open outcry” {{eqderivprov|Exchange}}s that have a price as of the {{eqderivprov|Valuation Time}}, the {{eqderivprov|Exchange}}’s official price per {{eqderivprov|Share}} at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}}; and  
::(i) Where the {{eqderivprov|Exchange}} is an “open outcry” exchange that has a price as of the {{eqderivprov|Valuation Time}}, the offical price per {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} reported by the {{eqderivprov|Exchange}}; and  
::(ii) For {{eqderivprov|Exchange}}s that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} (ignoring quotations that “lock” or “cross” the system);  
::(ii) Where the {{eqderivprov|Exchange}} is a dealer quotation system, the mid-point of the highest bid and lowest ask prices quoted as of the {{eqderivprov|Valuation Time}} on or immediately the {{eqderivprov|Valuation Date}} (without regard to quotations that “lock” or “cross” the dealer quotation system);  
:{{eqderivprov|5.9(c)}} '''{{eqderivprov|Index Basket Swap Transaction}}s''': The weighted sum of the {{eqderivprov|Relevant Prices}} for the {{eqderivprov|Indices}} in the {{eqderivprov|Basket}}; and  
:(c) '''{{eqderivprov|Index Basket Swap Transaction}}s''': The sum of the {{eqderivprov|Relevant Prices}} (weighted for each {{eqderivprov|Index}} as provided in the related {{eqderivprov|Confirmation}}) for the {{eqderivprov|Indices}} comprised in the {{eqderivprov|Basket}}; and  
:{{eqderivprov|5.9(d)}} '''{{eqderivprov|Share Basket Swap Transaction}}s''': The sum of the values for the {{eqderivprov|Shares}} of each {{eqderivprov|Issuer}} as the product of  
:(d) '''{{eqderivprov|Share Basket Swap Transaction}}s''': The sum of the values for the {{eqderivprov|Shares}} of each {{eqderivprov|Issuer}} as the product of  
::(i) the {{eqderivprov|Relevant Price}} of the {{eqderivprov|Share}} and  
::(i) the {{eqderivprov|Relevant Price}} of such {{eqderivprov|Share}} and  
::(ii) the relevant {{eqderivprov|Number of Shares}} in the {{eqderivprov|Basket}}. <br>
::(ii) the relevant {{eqderivprov|Number of Shares}} comprised in the {{eqderivprov|Basket}}.

Latest revision as of 15:59, 6 September 2018

5.9. “Final Price” means, for each Valuation Date:

5.9(a) Index Swap Transactions: the Index level at the Valuation Time on the Valuation Date;
5.9(b) Share Swap Transactions: the price per Share at the Valuation Time on the Valuation Date or, if no means for determining the Final Price are provided in the Confirmation:
(i) For “open outcry” Exchanges that have a price as of the Valuation Time, the Exchange’s official price per Share at the Valuation Time on the Valuation Date; and
(ii) For Exchanges that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at the Valuation Time on the Valuation Date (ignoring quotations that “lock” or “cross” the system);
5.9(c) Index Basket Swap Transactions: The weighted sum of the Relevant Prices for the Indices in the Basket; and
5.9(d) Share Basket Swap Transactions: The sum of the values for the Shares of each Issuer as the product of
(i) the Relevant Price of the Share and
(ii) the relevant Number of Shares in the Basket.
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