Template:Nutshell Equity Derivatives 8.5: Difference between revisions
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{{eqderivprov|8.5}}. '''{{eqderivprov|Forward Cash Settlement Amount}}'''. “'''{{eqderivprov|Forward Cash Settlement Amount}}'''” means, for each {{eqderivprov|Valuation Date}}: <br> | |||
:(a) '''{{eqderivprov|Index Forward Transaction}} or {{eqderivprov|Index Basket Forward Transaction}}s: | :(a) '''{{eqderivprov|Index Forward Transaction}} or {{eqderivprov|Index Basket Forward Transaction}}s: | ||
::(i) '''where “{{eqderivprov|Prepayment}}” does not apply''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}} x 1 unit of {{eqderivprov|Settlement Currency}} x {{eqderivprov|Multiplier}}''; <br> | ::(i) '''where “{{eqderivprov|Prepayment}}” does not apply''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}} x 1 unit of {{eqderivprov|Settlement Currency}} x {{eqderivprov|Multiplier}}''; <br> | ||
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::(i) '''where neither “{{eqderivprov|Prepayment}}” or “{{eqderivprov|Variable Obligation}}” applies''': ''{{eqderivprov|Number of Shares}} (or {{eqderivprov|Basket}}s) x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}}''; <br> | ::(i) '''where neither “{{eqderivprov|Prepayment}}” or “{{eqderivprov|Variable Obligation}}” applies''': ''{{eqderivprov|Number of Shares}} (or {{eqderivprov|Basket}}s) x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Price}}''; <br> | ||
::(ii) '''where “{{eqderivprov|Prepayment}}” applies but “{{eqderivprov|Variable Obligation}}” does not''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}}''; <br> | ::(ii) '''where “{{eqderivprov|Prepayment}}” applies but “{{eqderivprov|Variable Obligation}}” does not''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}}''; <br> | ||
::(iii) '''where “{{eqderivprov|Prepayment}}” does not apply but “{{eqderivprov|Variable Obligation}}” does | ::(iii) '''where “{{eqderivprov|Prepayment}}” does not apply but “{{eqderivprov|Variable Obligation}}” does''':<br> | ||
:::(A) '''where {{eqderivprov|Settlement Price}} ≤ {{eqderivprov|Forward Floor Price}}''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Floor Price}}''; <br> | :::(A) '''where {{eqderivprov|Settlement Price}} ≤ {{eqderivprov|Forward Floor Price}}''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Floor Price}}''; <br> | ||
:::(B) '''where {{eqderivprov|Forward Cap Price}} ≥ {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Floor Price}}''': ''zero''; and <br> | :::(B) '''where {{eqderivprov|Forward Cap Price}} ≥ {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Floor Price}}''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x zero''; and <br> | ||
:::(C) '''where {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Cap Price}}''': ''{{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Cap Price}}; and <br> | :::(C) '''where {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Cap Price}}''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s x {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Cap Price}}; and <br> | ||
:(iv) '''where both “{{eqderivprov|Prepayment}}” and “{{eqderivprov|Variable Obligation}}” apply''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s (without rounding) x {{eqderivprov|Settlement Price}}. <br> | ::(iv) '''where both “{{eqderivprov|Prepayment}}” and “{{eqderivprov|Variable Obligation}}” apply''': ''{{eqderivprov|Number of Shares}} or {{eqderivprov|Basket}}s (without rounding) x {{eqderivprov|Settlement Price}}. <br> | ||
Latest revision as of 12:17, 13 May 2022
8.5. Forward Cash Settlement Amount. “Forward Cash Settlement Amount” means, for each Valuation Date:
- (a) Index Forward Transaction or Index Basket Forward Transactions:
- (i) where “Prepayment” does not apply: Settlement Price - Forward Price x 1 unit of Settlement Currency x Multiplier;
- (ii) where “Prepayment” applies: Settlement Price x 1 unit of Settlement Currency x Multiplier;
- (i) where “Prepayment” does not apply: Settlement Price - Forward Price x 1 unit of Settlement Currency x Multiplier;
- (b) Share Forward Transaction or Share Basket Forward Transactions:
- (i) where neither “Prepayment” or “Variable Obligation” applies: Number of Shares (or Baskets) x Settlement Price - Forward Price;
- (ii) where “Prepayment” applies but “Variable Obligation” does not: Number of Shares or Baskets x Settlement Price;
- (iii) where “Prepayment” does not apply but “Variable Obligation” does:
- (A) where Settlement Price ≤ Forward Floor Price: Number of Shares or Baskets x Settlement Price - Forward Floor Price;
- (B) where Forward Cap Price ≥ Settlement Price > Forward Floor Price: Number of Shares or Baskets x zero; and
- (C) where Settlement Price > Forward Cap Price: Number of Shares or Baskets x Settlement Price - Forward Cap Price; and
- (A) where Settlement Price ≤ Forward Floor Price: Number of Shares or Baskets x Settlement Price - Forward Floor Price;
- (iv) where both “Prepayment” and “Variable Obligation” apply: Number of Shares or Baskets (without rounding) x Settlement Price.
- (i) where neither “Prepayment” or “Variable Obligation” applies: Number of Shares (or Baskets) x Settlement Price - Forward Price;