Template:Nutshell Equity Derivatives 9.6: Difference between revisions

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Section {{eqderivprov|9.6}}. “'''{{eqderivprov|Number of Baskets to be Delivered}}'''”. “'''{{eqderivprov|Number of Baskets to be Delivered}}'''” means: <br>
{{eqderivprov|9.6}}. “'''{{eqderivprov|Number of Baskets to be Delivered}}'''” means: <br>
:(a) in respect of an {{eqderivprov|Exercise Date}} under a {{eqderivprov|Share Basket Option Transaction}}, the number of {{eqderivprov|Baskets}} equal to the number of {{eqderivprov|Options}} exercised or deemed exercised on that {{eqderivprov|Exercise Date}} multiplied by the {{eqderivprov|Option Entitlement}}; <br>
:(a) '''{{eqderivprov|Share Basket Option Transaction}}s''': on an {{eqderivprov|Exercise Date}}, ''number of exercised {{eqderivprov|Options}} x {{eqderivprov|Option Entitlement}}. <br>
:(b) under a {{eqderivprov|Share Basket Forward Transaction}} for which “'''{{eqderivprov|Variable Obligation}}'''” is not applicable, the {{eqderivprov|Number of Baskets}}; <br>
:(b) '''{{eqderivprov|Share Basket Forward Transaction}} where “{{eqderivprov|Variable Obligation}}” does not apply''': ''{{eqderivprov|Number of Baskets}}''. <br>
:(c) under a {{eqderivprov|Share Basket Forward Transaction}} for which “'''{{eqderivprov|Variable Obligation}}'''” is applicable: <br>
:(c) '''{{eqderivprov|Share Basket Forward Transaction}} where “{{eqderivprov|Variable Obligation}}” applies''': <br>
::(i) if the {{eqderivprov|Settlement Price}} is less than or equal to the {{eqderivprov|Forward Floor Price}}, the {{eqderivprov|Number of Baskets}}; <br>
::(i) where {{eqderivprov|Settlement Price}} ≤ {{eqderivprov|Forward Floor Price}}: ''{{eqderivprov|Number of Baskets}}''. <br>
::(ii) if the {{eqderivprov|Settlement Price}} is greater than the {{eqderivprov|Forward Floor Price}} but less than or equal to the {{eqderivprov|Forward Cap Price}}, a number of {{eqderivprov|Baskets}} equal to: <br>
::(ii) where {{eqderivprov|Forward Floor Price}} < {{eqderivprov|Settlement Price}} ≤ {{eqderivprov|Forward Cap Price}}: ''({{eqderivprov|Forward Floor Price}}/{{eqderivprov|Settlement Price}}) x {{eqderivprov|Number of Baskets}}''. <br>
::''({{eqderivprov|Forward Floor Price}}/{{eqderivprov|Settlement Price}}) x {{eqderivprov|Number of Baskets}}''; and <br>
::(iii) where {{eqderivprov|Settlement Price}} > {{eqderivprov|Forward Cap Price}}: ''(({{eqderivprov|Forward Floor Price}} + {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Cap Price}})/{{eqderivprov|Settlement Price}}) x {{eqderivprov|Number of Baskets}}'' <br>
::(iii) if the {{eqderivprov|Settlement Price}} is greater than the {{eqderivprov|Forward Cap Price}}, a number of {{eqderivprov|Baskets}} equal to: <br>
:(d) '''{{eqderivprov|Share Basket Swap Transaction}}s''': the {{eqderivprov|Number of Baskets}}. <br>
::''(({{eqderivprov|Forward Floor Price}} + {{eqderivprov|Settlement Price}} - {{eqderivprov|Forward Cap Price}})/{{eqderivprov|Settlement Price}}) x {{eqderivprov|Number of Baskets}}'' <br>
:If the aggregate number of {{eqderivprov|Shares}} of any {{eqderivprov|Issuer}} in a {{eqderivprov|Basket}} is not an integral number of {{eqderivprov|Shares}} then the aggregate number of {{eqderivprov|Shares}} of that {{eqderivprov|Issuer}} to be delivered will be rounded down and a {{eqderivprov|Fractional Share Amount}} paid in lieu of the fraction. <br>
:(d) under a {{eqderivprov|Share Basket Swap Transaction}}, the {{eqderivprov|Number of Baskets}}. <br>
:In respect of an {{eqderivprov|Issuer}} comprising the {{eqderivprov|Basket}}, if the aggregate number of {{eqderivprov|Shares}} of such {{eqderivprov|Issuer}} calculated by multiplying the relevant {{eqderivprov|Number of Shares}} by the {{eqderivprov|Number of Baskets to be Delivered}} comprises a fractional {{eqderivprov|Share}}, then the aggregate number of {{eqderivprov|Shares}} of such {{eqderivprov|Issuer}} that is delivered will include only whole {{eqderivprov|Shares}} and a {{eqderivprov|Fractional Share Amount}} will be payable by the relevant party in lieu of such fractional {{eqderivprov|Share}}. <br>

Latest revision as of 08:19, 12 May 2022

9.6. “Number of Baskets to be Delivered” means:

(a) Share Basket Option Transactions: on an Exercise Date, number of exercised Options x Option Entitlement.
(b) Share Basket Forward Transaction where “Variable Obligation” does not apply: Number of Baskets.
(c) Share Basket Forward Transaction where “Variable Obligation” applies:
(i) where Settlement Price ≤ Forward Floor Price: Number of Baskets.
(ii) where Forward Floor Price < Settlement Price ≤ Forward Cap Price: (Forward Floor Price/Settlement Price) x Number of Baskets.
(iii) where Settlement Price > Forward Cap Price: ((Forward Floor Price + Settlement Price - Forward Cap Price)/Settlement Price) x Number of Baskets
(d) Share Basket Swap Transactions: the Number of Baskets.
If the aggregate number of Shares of any Issuer in a Basket is not an integral number of Shares then the aggregate number of Shares of that Issuer to be delivered will be rounded down and a Fractional Share Amount paid in lieu of the fraction.
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